Commodities and the market price of risk / / Shaun K. Roache

• Autore: Roache Shaun K
• 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
• Serie: IMF Working Papers