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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...
| Cote: | Libro Electrónico |
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| Auteur principal: | |
| Collectivité auteur: | |
| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
Washington, D.C. :
International Monetary Fund,
©2008.
©2008 |
| Collection: | IMF working paper ;
WP/08/221. |
| Sujets: | |
| Accès en ligne: | Texto completo |
| Résumé: | 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. |
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| Description: | At head of title: Finance Department. "September 2008." |
| Description matérielle: | 1 online resource (23 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 18-20). |
| ISBN: | 1282841726 9781282841727 1451915322 9781451915327 |