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Autore: | Roache Shaun K |
Titolo: | Commodities and the market price of risk / / Shaun K. Roache |
Pubblicazione: | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
©2008 | |
Descrizione fisica: | 1 online resource (25 p.) |
Disciplina: | 330.015195 |
Soggetto topico: | Risk - Econometric models |
Commodity futures - Econometric models | |
Capital assets pricing model | |
Soggetto genere / forma: | Electronic books. |
Note generali: | Description based upon print version of record. |
Nota di bibliografia: | Includes bibliographical references. |
Nota di contenuto: | 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 |
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 |
Titolo autorizzato: | Commodities and the market price of risk |
ISBN: | 1-4623-6790-9 |
1-4518-7079-5 | |
1-4519-8829-X | |
1-282-84172-6 | |
9786612841729 | |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910463626403321 |
Lo trovi qui: | Univ. Federico II |
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