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...

Full description

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Roache, Shaun K. (Author)
Corporate Author: International Monetary Fund. Finance Department
Format: Electronic eBook
Language:Inglés
Published: Washington, D.C. : International Monetary Fund, ©2008.
©2008
Series:IMF working paper ; WP/08/221.
Subjects:
Commodity futures > Econometric models.
Risk > Econometric models.
Capital assets pricing model.
Marchés à terme de marchandises > Modèles économétriques.
Risque > Modèles économétriques.
Modèle d'évaluation des actifs financiers.
Capital assets pricing model
Commodity futures > Econometric models
Risk > Econometric models
Capital Asset Pricing Model.
Rohstoff-Futures.
Online Access:Texto completo
Table of 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.

Similar Items