Commodities and the Market Price of Risk
| Author/creator | Roache, Shaun K. Author |
| Format | Electronic |
| Publication Info | Washington : International Monetary Fund |
| Description | 37 p. |
| Supplemental Content | Full text available from Ebook Central - Academic Complete |
| Summary | Annotation 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. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| ISBN | 9781451915327 |
| ISBN | 1451915322 (E-Book) Active Record |
| Stock number | 00013468 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |