Commodities and the Market Price of Risk / / Shaun Roache
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| Autore: |
Roache Shaun
|
| Titolo: |
Commodities and the Market Price of Risk / / Shaun Roache
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica: | 1 online resource (25 p.) |
| Disciplina: | 330.015195 |
| Soggetto topico: | Risk - Econometric models |
| Commodity futures - Econometric models | |
| Capital assets pricing model | |
| Banks and Banking | |
| Investments: Commodities | |
| Investments: General | |
| Investments: Futures | |
| Commodity Markets | |
| Interest Rates: Determination, Term Structure, and Effects | |
| Pension Funds | |
| Non-bank Financial Institutions | |
| Financial Instruments | |
| Institutional Investors | |
| Investment | |
| Capital | |
| Intangible Capital | |
| Capacity | |
| Financing Policy | |
| Financial Risk and Risk Management | |
| Capital and Ownership Structure | |
| Value of Firms | |
| Goodwill | |
| Investment & securities | |
| Finance | |
| Macroeconomics | |
| Financial services law & regulation | |
| Commodities | |
| Real interest rates | |
| Futures | |
| Return on investment | |
| Market risk | |
| Commercial products | |
| Interest rates | |
| Derivative securities | |
| Saving and investment | |
| Financial risk management | |
| Soggetto geografico: | United States |
| 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 accept lower expected returns for this position. Although some commodities are also a hedge against U.S. dollar depreciation, this risk is not priced. |
| 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.: | 9910788345503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2008/221