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[null,"1.","Record Nr.",null,"UNINA9910788345503321"]
[null,null,"Autore",null,"Roache Shaun"]
[null,null,"Titolo",null,"Commodities and the Market Price of Risk / / Shaun Roache"]
[null,null,"Pubbl/distr/stampa",null,"Washington, D.C. : , : International Monetary Fund, , 2008"]
[null,null,"ISBN",null,"1-4623-6790-9"]
[{"$nulls":4},"1-4518-7079-5"]
[{"$nulls":4},"1-4519-8829-X"]
[{"$nulls":4},"1-282-84172-6"]
[{"$nulls":4},"9786612841729"]
[null,null,"Descrizione fisica",null,"1 online resource (25 p.)"]
[null,null,"Collana",null,"IMF Working Papers"]
[{"$nulls":4},"IMF working paper ; ; WP/08/221"]
[null,null,"Disciplina",null,"330.015195"]
[null,null,"Soggetti",null,"Risk - Econometric models"]
[{"$nulls":4},"Commodity futures - Econometric models"]
[{"$nulls":4},"Capital assets pricing model"]
[{"$nulls":4},"Banks and Banking"]
[{"$nulls":4},"Investments: Commodities"]
[{"$nulls":4},"Investments: General"]
[{"$nulls":4},"Investments: Futures"]
[{"$nulls":4},"Commodity Markets"]
[{"$nulls":4},"Interest Rates: Determination, Term Structure, and Effects"]
[{"$nulls":4},"Pension Funds"]
[{"$nulls":4},"Non-bank Financial Institutions"]
[{"$nulls":4},"Financial Instruments"]
[{"$nulls":4},"Institutional Investors"]
[{"$nulls":4},"Investment"]
[{"$nulls":4},"Capital"]
[{"$nulls":4},"Intangible Capital"]
[{"$nulls":4},"Capacity"]
[{"$nulls":4},"Financing Policy"]
[{"$nulls":4},"Financial Risk and Risk Management"]
[{"$nulls":4},"Capital and Ownership Structure"]
[{"$nulls":4},"Value of Firms"]
[{"$nulls":4},"Goodwill"]
[{"$nulls":4},"Investment & securities"]
[{"$nulls":4},"Finance"]
[{"$nulls":4},"Macroeconomics"]
[{"$nulls":4},"Financial services law & regulation"]
[{"$nulls":4},"Commodities"]
[{"$nulls":4},"Real interest rates"]
[{"$nulls":4},"Futures"]
[{"$nulls":4},"Return on investment"]
[{"$nulls":4},"Market risk"]
[{"$nulls":4},"Commercial products"]
[{"$nulls":4},"Interest rates"]
[{"$nulls":4},"Derivative securities"]
[{"$nulls":4},"Saving and investment"]
[{"$nulls":4},"Financial risk management"]
[{"$nulls":4},"United States"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,null,"Nota di bibliografia","Includes bibliographical references."]
[null,null,"Nota di contenuto",null,"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; Appendix"]
[null,null,null,"Sommario/riassunto","Commodities 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."]