Commodities and the market price of risk /

Commodities and the market price of risk /

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Bibliographic Details
Author / Creator:	Roache, Shaun K., author.
Imprint:	Washington, D.C. : International Monetary Fund, ©2008. ©2008
Description:	1 online resource (23 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/08/221.
Subject:	Commodity futures -- Econometric models. Risk -- Econometric models. Capital assets pricing model. Capital assets pricing model. Commodity futures -- Econometric models. Risk -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12499603

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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

Description
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.
Item Description:	At head of title: Finance Department. "September 2008."
Physical Description:	1 online resource (23 pages) : illustrations
Format:	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.
Bibliography:	Includes bibliographical references (pages 18-20).
ISBN:	1282841726 9781282841727 1451915322 9781451915327