Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Finance Department.
|
|---|
| ISBN: | 1282841726
9781282841727
1451915322
9781451915327
|
|---|
| Notes: | At head of title: Finance Department.
"September 2008."
Includes bibliographical references (pages 18-20).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2011.
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
digitized 2011 HathiTrust Digital Library committed to preserve
Print version record.
|
|---|
| 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.
|
|---|
| Other form: | Print version: Roache, Shaun K. Commodities and the market price of risk. Washington, D.C. : International Monetary Fund, ©2008
|
|---|
| Standard no.: | 10.5089/9781451915327.001
|
|---|
