05709oam 22014174 450 991081752770332120240402044627.01-4623-6790-91-4518-7079-51-4519-8829-X1-282-84172-69786612841729(CKB)3170000000055117(EBL)1605853(SSID)ssj0000943994(PQKBManifestationID)11503135(PQKBTitleCode)TC0000943994(PQKBWorkID)10978557(PQKB)11605604(OCoLC)762469891(MiAaPQ)EBC1605853(IMF)WPIEE2008221(EXLCZ)99317000000005511720020129d2008 uf 0engurcnu||||||||txtccrCommodities and the Market Price of Risk /Shaun Roache1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (25 p.)IMF Working PapersIMF working paper ;WP/08/221Description based upon print version of record.1-4519-1532-2 Includes bibliographical references.Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; AppendixCommodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity futures and test whether these risks are priced, using Merton's (1973) intertemporal capital asset pricing model for a sample of commodity prices covering the period January 1973 - February 2008. I find that commodity futures offer a hedge against lower interest rates and that investors are willing to accept lower expected returns for this position. Although some commodities are also a hedge against U.S. dollar depreciation, this risk is not priced.IMF Working Papers; Working Paper ;No. 2008/221RiskEconometric modelsCommodity futuresEconometric modelsCapital assets pricing modelBanks and BankingimfInvestments: CommoditiesimfInvestments: GeneralimfInvestments: FuturesimfCommodity MarketsimfInterest Rates: Determination, Term Structure, and EffectsimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfInvestmentimfCapitalimfIntangible CapitalimfCapacityimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfInvestment & securitiesimfFinanceimfMacroeconomicsimfFinancial services law & regulationimfCommoditiesimfReal interest ratesimfFuturesimfReturn on investmentimfMarket riskimfCommercial productsimfInterest ratesimfDerivative securitiesimfSaving and investmentimfFinancial risk managementimfUnited StatesimfRiskEconometric models.Commodity futuresEconometric models.Capital assets pricing model.Banks and BankingInvestments: CommoditiesInvestments: GeneralInvestments: FuturesCommodity MarketsInterest Rates: Determination, Term Structure, and EffectsPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsInvestmentCapitalIntangible CapitalCapacityFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillInvestment & securitiesFinanceMacroeconomicsFinancial services law & regulationCommoditiesReal interest ratesFuturesReturn on investmentMarket riskCommercial productsInterest ratesDerivative securitiesSaving and investmentFinancial risk management330.015195Roache Shaun1614884DcWaIMFBOOK9910817527703321Commodities and the Market Price of Risk4106080UNINA