LEADER 03001nam 2200637 450 001 9910463626403321 005 20181115033213.0 010 $a1-4623-6790-9 010 $a1-4518-7079-5 010 $a1-4519-8829-X 010 $a1-282-84172-6 010 $a9786612841729 035 $a(CKB)3170000000055117 035 $a(EBL)1605853 035 $a(SSID)ssj0000943994 035 $a(PQKBManifestationID)11503135 035 $a(PQKBTitleCode)TC0000943994 035 $a(PQKBWorkID)10978557 035 $a(PQKB)11605604 035 $a(OCoLC)762469891 035 $a(MiAaPQ)EBC1605853 035 $a(EXLCZ)993170000000055117 100 $a20140225h20082008 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCommodities and the market price of risk /$fShaun K. Roache 210 1$a[Washington, District of Columbia] :$cInternational Monetary Fund,$d2008. 210 4$dİ2008 215 $a1 online resource (25 p.) 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/221 300 $aDescription based upon print version of record. 311 $a1-4519-1532-2 320 $aIncludes bibliographical references. 327 $aContents; 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; Appendix 330 $aCommodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity futures and test whether these risks are priced, using Merton's (1973) intertemporal capital asset pricing model for a sample of commodity prices covering the period January 1973 - February 2008. I find that commodity futures offer a hedge against lower interest rates and that investors are willing to 410 0$aIMF Working Papers 606 $aRisk$xEconometric models 606 $aCommodity futures$xEconometric models 606 $aCapital assets pricing model 608 $aElectronic books. 615 0$aRisk$xEconometric models. 615 0$aCommodity futures$xEconometric models. 615 0$aCapital assets pricing model. 676 $a330.015195 700 $aRoache$b Shaun K$0869965 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910463626403321 996 $aCommodities and the market price of risk$91942265 997 $aUNINA