| Description |
1 online resource (23 pages) : illustrations |
| Series |
IMF working paper ; WP/08/221.
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| 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 |
| Summary |
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 |
| Notes |
At head of title: Finance Department |
|
"September 2008." |
| Bibliography |
Includes bibliographical references (pages 18-20) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
Print version record |
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digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL |
| Subject |
Commodity futures -- Econometric models
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Risk -- Econometric models
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Capital assets pricing model.
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Capital assets pricing model
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Commodity futures -- Econometric models
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Risk -- Econometric models
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Capital Asset Pricing Model.
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Rohstoff-Futures.
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| Form |
Electronic book
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| Author |
International Monetary Fund. Finance Department.
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| ISBN |
1282841726 |
|
9781282841727 |
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1451915322 |
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9781451915327 |
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