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Commodities and the Market Price of Risk / / Shaun Roache
| Commodities and the Market Price of Risk / / Shaun Roache |
| Autore | Roache Shaun |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (25 p.) |
| Disciplina | 330.015195 |
| Collana |
IMF Working Papers
IMF working paper |
| 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 |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910788345503321 |
Roache Shaun
|
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| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Commodities and the Market Price of Risk / / Shaun Roache
| Commodities and the Market Price of Risk / / Shaun Roache |
| Autore | Roache Shaun |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (25 p.) |
| Disciplina | 330.015195 |
| Collana |
IMF Working Papers
IMF working paper |
| 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 |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910817527703321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Domestic Investment and the Cost of Capital in the Caribbean / / Shaun Roache
| Domestic Investment and the Cost of Capital in the Caribbean / / Shaun Roache |
| Autore | Roache Shaun |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (46 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Investments - Caribbean Area
Capital costs - Caribbean Area Banks and Banking Investments: General Investments: Stocks Public Finance National Government Expenditures and Related Policies: Infrastructures Other Public Investment and Capital Stock Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Interest Rates: Determination, Term Structure, and Effects Investment Capital Intangible Capital Capacity Public finance & taxation Investment & securities Finance Macroeconomics Stocks Public investment and public-private partnerships (PPP) Real interest rates Public investment spending Private investment Public-private sector cooperation Interest rates Public investments Saving and investment |
| ISBN |
1-4623-6897-2
1-4527-3500-X 1-282-54125-0 1-4527-0339-6 9786613821966 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. TRENDS IN REGIONAL INVESTMENT 6""; ""III. LITERATURE REVIEW""; ""IV. A BASIC INVESTMENT MODEL""; ""V. DATA""; ""VI. ESTIMATION ISSUES""; ""VII. ESTIMATION RESULTS""; ""VIII. CONCLUSIONS""; ""References""; ""Data Sources and Estimates "" |
| Record Nr. | UNINA-9910788526703321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Domestic Investment and the Cost of Capital in the Caribbean / / Shaun Roache
| Domestic Investment and the Cost of Capital in the Caribbean / / Shaun Roache |
| Autore | Roache Shaun |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (46 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Investments - Caribbean Area
Capital costs - Caribbean Area Banks and Banking Investments: General Investments: Stocks Public Finance National Government Expenditures and Related Policies: Infrastructures Other Public Investment and Capital Stock Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Interest Rates: Determination, Term Structure, and Effects Investment Capital Intangible Capital Capacity Public finance & taxation Investment & securities Finance Macroeconomics Stocks Public investment and public-private partnerships (PPP) Real interest rates Public investment spending Private investment Public-private sector cooperation Interest rates Public investments Saving and investment |
| ISBN |
1-4623-6897-2
1-4527-3500-X 1-282-54125-0 1-4527-0339-6 9786613821966 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. TRENDS IN REGIONAL INVESTMENT 6""; ""III. LITERATURE REVIEW""; ""IV. A BASIC INVESTMENT MODEL""; ""V. DATA""; ""VI. ESTIMATION ISSUES""; ""VII. ESTIMATION RESULTS""; ""VIII. CONCLUSIONS""; ""References""; ""Data Sources and Estimates "" |
| Record Nr. | UNINA-9910814670703321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Effects of Economic News on Commodity Prices : : Is Gold Just Another Commodity? / / Shaun Roache, Marco Rossi
| The Effects of Economic News on Commodity Prices : : Is Gold Just Another Commodity? / / Shaun Roache, Marco Rossi |
| Autore | Roache Shaun |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (30 p.) |
| Altri autori (Persone) | RossiMarco |
| Collana | IMF Working Papers |
| Soggetto topico |
Gold
Macroeconomics Foreign exchange rates Investments: Commodities Investments: Metals Inflation Commodity Markets Metals and Metal Products Cement Glass Ceramics Price Level Deflation Investment & securities Commodity prices Gold prices Commodities Prices Commercial products |
| ISBN |
1-4623-4769-X
1-4527-2484-9 1-282-84354-0 1-4518-7287-9 9786612843549 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Table of contents; I. Introduction; II. Methodology; A. Literature Review; B. Data; C. Estimation Strategy; III. Results; A. Scheduled Macroeconomic Announcements; B. "Good News", "Bad News", and Volatility; IV. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910788332003321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Effects of Economic News on Commodity Prices : : Is Gold Just Another Commodity? / / Shaun Roache, Marco Rossi
| The Effects of Economic News on Commodity Prices : : Is Gold Just Another Commodity? / / Shaun Roache, Marco Rossi |
| Autore | Roache Shaun |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (30 p.) |
| Disciplina | 332.63 |
| Altri autori (Persone) | RossiMarco |
| Collana | IMF Working Papers |
| Soggetto topico |
Gold
Macroeconomics Foreign exchange rates Investments: Commodities Investments: Metals Inflation Commodity Markets Metals and Metal Products Cement Glass Ceramics Price Level Deflation Investment & securities Commodity prices Gold prices Commodities Prices Commercial products |
| ISBN |
1-4623-4769-X
1-4527-2484-9 1-282-84354-0 1-4518-7287-9 9786612843549 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Table of contents; I. Introduction; II. Methodology; A. Literature Review; B. Data; C. Estimation Strategy; III. Results; A. Scheduled Macroeconomic Announcements; B. "Good News", "Bad News", and Volatility; IV. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910812317403321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Inflation Hedging for Long-Term Investors / / Shaun Roache, Alexander Attie
| Inflation Hedging for Long-Term Investors / / Shaun Roache, Alexander Attie |
| Autore | Roache Shaun |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (39 p.) |
| Altri autori (Persone) | AttieAlexander |
| Collana | IMF Working Papers |
| Soggetto topico |
Hedging (Finance)
Inflation (Finance) Risk Banks and Banking Inflation Investments: Bonds Investments: Stocks Money and Monetary Policy Price Level Deflation Portfolio Choice Investment Decisions Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors General Financial Markets: General (includes Measurement and Data) Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Monetary Systems Standards Regimes Government and the Monetary System Payment Systems Macroeconomics Investment & securities Financial services law & regulation Monetary economics Stocks Bonds Hedging Currencies Prices Financial institutions Financial regulation and supervision Money Financial risk management |
| ISBN |
1-4623-0028-6
1-4527-9749-8 1-282-84310-9 1-4518-7237-2 9786612843105 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; Figures; 1. Long-term Consumer Price Inflation, 1950-2008 (annual percent); II. Literature Review; A. Cash; B. Bonds; C. Corporate Equity; D. Alternatives; E. Diversified Portfolios; III. Inflation Hedging Over a One-Year Horizon; A. Data; Tables; 1. Short-Run Model Variables: Summary Statistics, Jan-1927 to Nov-2008; B. Estimation Strategy; C. Results; 2. Asset Class Sensitivity to Inflation Over a 12-Month Horizon; IV. Inflation Hedging over the Long Term; 3. Breakpoint Tests and Sub-Sample Regressions; A. Data; B. Estimation Strategy
3. Long-Run Model Variables: Summary Statistics, Aug-1956 to Oct-2008C. Results; 2. Inflation Shock 20-Year Cumulative Impulse Response Functions; 3. Inflation Shock Elasticities; V. Summary and Investment Implications; Appendix; References |
| Record Nr. | UNINA-9910788336403321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Inflation Hedging for Long-Term Investors / / Shaun Roache, Alexander Attie
| Inflation Hedging for Long-Term Investors / / Shaun Roache, Alexander Attie |
| Autore | Roache Shaun |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 332.152 |
| Altri autori (Persone) | AttieAlexander |
| Collana | IMF Working Papers |
| Soggetto topico |
Hedging (Finance)
Inflation (Finance) Risk Banks and Banking Inflation Investments: Bonds Investments: Stocks Money and Monetary Policy Price Level Deflation Portfolio Choice Investment Decisions Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors General Financial Markets: General (includes Measurement and Data) Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Monetary Systems Standards Regimes Government and the Monetary System Payment Systems Macroeconomics Investment & securities Financial services law & regulation Monetary economics Stocks Bonds Hedging Currencies Prices Financial institutions Financial regulation and supervision Money Financial risk management |
| ISBN |
1-4623-0028-6
1-4527-9749-8 1-282-84310-9 1-4518-7237-2 9786612843105 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; Figures; 1. Long-term Consumer Price Inflation, 1950-2008 (annual percent); II. Literature Review; A. Cash; B. Bonds; C. Corporate Equity; D. Alternatives; E. Diversified Portfolios; III. Inflation Hedging Over a One-Year Horizon; A. Data; Tables; 1. Short-Run Model Variables: Summary Statistics, Jan-1927 to Nov-2008; B. Estimation Strategy; C. Results; 2. Asset Class Sensitivity to Inflation Over a 12-Month Horizon; IV. Inflation Hedging over the Long Term; 3. Breakpoint Tests and Sub-Sample Regressions; A. Data; B. Estimation Strategy
3. Long-Run Model Variables: Summary Statistics, Aug-1956 to Oct-2008C. Results; 2. Inflation Shock 20-Year Cumulative Impulse Response Functions; 3. Inflation Shock Elasticities; V. Summary and Investment Implications; Appendix; References |
| Record Nr. | UNINA-9910825976303321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||