LEADER 05709oam 22014174 450 001 9910817527703321 005 20240402044627.0 010 $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(IMF)WPIEE2008221 035 $a(EXLCZ)993170000000055117 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCommodities and the Market Price of Risk /$fShaun Roache 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 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 3 $aCommodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity futures and test whether these risks are priced, using Merton's (1973) intertemporal capital asset pricing model for a sample of commodity prices covering the period January 1973 - February 2008. I find that commodity futures offer a hedge against lower interest rates and that investors are willing to accept lower expected returns for this position. Although some commodities are also a hedge against U.S. dollar depreciation, this risk is not priced. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/221 606 $aRisk$xEconometric models 606 $aCommodity futures$xEconometric models 606 $aCapital assets pricing model 606 $aBanks and Banking$2imf 606 $aInvestments: Commodities$2imf 606 $aInvestments: General$2imf 606 $aInvestments: Futures$2imf 606 $aCommodity Markets$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aInvestment$2imf 606 $aCapital$2imf 606 $aIntangible Capital$2imf 606 $aCapacity$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aInvestment & securities$2imf 606 $aFinance$2imf 606 $aMacroeconomics$2imf 606 $aFinancial services law & regulation$2imf 606 $aCommodities$2imf 606 $aReal interest rates$2imf 606 $aFutures$2imf 606 $aReturn on investment$2imf 606 $aMarket risk$2imf 606 $aCommercial products$2imf 606 $aInterest rates$2imf 606 $aDerivative securities$2imf 606 $aSaving and investment$2imf 606 $aFinancial risk management$2imf 607 $aUnited States$2imf 615 0$aRisk$xEconometric models. 615 0$aCommodity futures$xEconometric models. 615 0$aCapital assets pricing model. 615 7$aBanks and Banking 615 7$aInvestments: Commodities 615 7$aInvestments: General 615 7$aInvestments: Futures 615 7$aCommodity Markets 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aInvestment 615 7$aCapital 615 7$aIntangible Capital 615 7$aCapacity 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aInvestment & securities 615 7$aFinance 615 7$aMacroeconomics 615 7$aFinancial services law & regulation 615 7$aCommodities 615 7$aReal interest rates 615 7$aFutures 615 7$aReturn on investment 615 7$aMarket risk 615 7$aCommercial products 615 7$aInterest rates 615 7$aDerivative securities 615 7$aSaving and investment 615 7$aFinancial risk management 676 $a330.015195 700 $aRoache$b Shaun$01614884 801 0$bDcWaIMF 906 $aBOOK 912 $a9910817527703321 996 $aCommodities and the Market Price of Risk$94106080 997 $aUNINA