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Commodities and the market price of risk /
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 future...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
©2008.
©2008 |
| Colección: | IMF working paper ;
WP/08/221. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Roache, Shaun K., |e author. | |
| 245 | 1 | 0 | |a Commodities and the market price of risk / |c prepared by Shaun K. Roache. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c ©2008. | ||
| 264 | 4 | |c ©2008 | |
| 300 | |a 1 online resource (23 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 500 | |a At head of title: Finance Department. | ||
| 500 | |a "September 2008." | ||
| 504 | |a Includes bibliographical references (pages 18-20). | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2011. |5 MiAaHDL | ||
| 538 | |a 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. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2011 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a 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. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Commodity futures |x Econometric models. | |
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 0 | |a Capital assets pricing model. | |
| 650 | 6 | |a Marchés à terme de marchandises |x Modèles économétriques. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 6 | |a Modèle d'évaluation des actifs financiers. | |
| 650 | 7 | |a Capital assets pricing model |2 fast | |
| 650 | 7 | |a Commodity futures |x Econometric models |2 fast | |
| 650 | 7 | |a Risk |x Econometric models |2 fast | |
| 650 | 7 | |a Capital Asset Pricing Model. |2 stw | |
| 650 | 7 | |a Rohstoff-Futures. |2 stw | |
| 710 | 2 | |a International Monetary Fund. |b Finance Department. | |
| 758 | |i has work: |a Commodities and the market price of risk (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFtBP4jrBxwcdmHBf4gBj3 |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Roache, Shaun K. |t Commodities and the market price of risk. |d Washington, D.C. : International Monetary Fund, ©2008 |w (OCoLC)314413535 |
| 830 | 0 | |a IMF working paper ; |v WP/08/221. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1605853 |z Texto completo |
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