Commodities and the market price of risk / / Shaun K. Roache |
Autore | Roache Shaun K |
Pubbl/distr/stampa | [Washington, District of Columbia] : , : 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 |
Soggetto genere / forma | Electronic books. |
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-9910463626403321 |
Roache Shaun K
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[Washington, District of Columbia] : , : International Monetary Fund, , 2008 | ||
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Lo trovi qui: Univ. Federico II | ||
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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 | ||
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Lo trovi qui: Univ. Federico II | ||
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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
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Washington, D.C. : , : International Monetary Fund, , 2008 | ||
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Lo trovi qui: Univ. Federico II | ||
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Macro-hedging for commodity exporters [[electronic resource] /] / prepared by Eduardo Borensztein, Olivier Jeanne, Damiano Sandri |
Autore | Borensztein Eduardo |
Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 |
Descrizione fisica | 29 p. : ill |
Altri autori (Persone) |
JeanneOlivier
SandriDamiano |
Collana | IMF working paper |
Soggetto topico |
Hedging (Finance) - Econometric models
Futures - Econometric models Commodity futures - Econometric models |
Soggetto genere / forma | Electronic books. |
ISBN |
1-4623-1439-2
9786612844300 1-4518-7376-X 1-282-84430-X 1-4527-1070-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910463691103321 |
Borensztein Eduardo
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[Washington, D.C.], : International Monetary Fund, Research Dept., 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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Macro-Hedging for Commodity Exporters / / Eduardo Borensztein, Damiano Sandri, Olivier Jeanne |
Autore | Borensztein Eduardo |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 29 p. : ill |
Altri autori (Persone) |
SandriDamiano
JeanneOlivier |
Collana | IMF Working Papers |
Soggetto topico |
Hedging (Finance) - Econometric models
Futures - Econometric models Commodity futures - Econometric models Banks and Banking Investments: Commodities Exports and Imports Macroeconomics Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Investment Long-term Capital Movements Aggregate Factor Income Distribution Macroeconomics: Consumption Saving Wealth Commodity Markets Financial services law & regulation International economics Investment & securities Hedging Foreign assets Income Consumption Commodities Financial risk management Investments, Foreign Economics Commercial products |
ISBN |
1-4623-1439-2
9786612844300 1-4518-7376-X 1-282-84430-X 1-4527-1070-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910788224503321 |
Borensztein Eduardo
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Washington, D.C. : , : International Monetary Fund, , 2009 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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Macro-Hedging for Commodity Exporters / / Eduardo Borensztein, Damiano Sandri, Olivier Jeanne |
Autore | Borensztein Eduardo |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 29 p. : ill |
Disciplina | 332.64;332.645 |
Altri autori (Persone) |
SandriDamiano
JeanneOlivier |
Collana | IMF Working Papers |
Soggetto topico |
Hedging (Finance) - Econometric models
Futures - Econometric models Commodity futures - Econometric models Banks and Banking Investments: Commodities Exports and Imports Macroeconomics Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Investment Long-term Capital Movements Aggregate Factor Income Distribution Macroeconomics: Consumption Saving Wealth Commodity Markets Financial services law & regulation International economics Investment & securities Hedging Foreign assets Income Consumption Commodities Financial risk management Investments, Foreign Economics Commercial products |
ISBN |
1-4623-1439-2
9786612844300 1-4518-7376-X 1-282-84430-X 1-4527-1070-8 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Stylized facts -- III. The model -- A. No hedging -- B. Futures -- IV. The welfare gains from hedging -- A. Calibration -- B. Benchmark results -- C. Sensitivity analysis -- D. Welfare gains by commodity -- V. Extensions -- A. Options -- B. Default -- VI. Conclusion -- References -- Appendices -- I. Commodity price data -- II. Model with hedging -- III. Notes on numerical simulations -- IV. Maximum likelihood estimation -- Tables -- 1. Countries with 2002-2007 average of commodity net export share of non-commodity-GDP above 10 percent -- 2. Standard deviation of the detrended log of commodity exports and non-commodity GDP -- 3. Benchmark calibration -- 4. Calibration by commodity -- 5. Welfare gains from futures by commodity -- 6. Commodity price data from International Finance Statistics ... -- Figures -- 1. Average open interest and risk premium (NYMEX July 03 - May 09) -- 2. Welfare gains from consumption smoothing only -- 3. Full welfare gains -- 4. Consumption functions and target net foreign asset position -- 5. Dynamics of net foreign assets and consumption following the introduction of hedging -- 6. Welfare gains as a function of discount factor and growth rate -- 7. Welfare gains as a function of the shock persistency -- 8. Welfare gains as a function of the shock variance -- 9. Net foreign assets and welfare gains with options and futures contracts -- 10. Borrowing capacity, equilibrium net foreign assets and welfare gains with defaultable debt. |
Record Nr. | UNINA-9910826147303321 |
Borensztein Eduardo
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Washington, D.C. : , : International Monetary Fund, , 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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