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.
Imprint:	[Washington, District of Columbia] : International Monetary Fund, 2008. ©2008
Description:	1 online resource (25 pages) : illustrations (some color), graphs, tables.
Language:	English
Series:	IMF working paper ; WP/08/221 IMF working paper ; WP/08/221.
Subject:	Capital assets pricing model. Commodity futures -- Econometric models. Risk -- Econometric models. 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/14154108

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Notes:	Includes bibliographical references. Description based on online resource; title from PDF front page (ebrary, viewed February 25, 2014).
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.

Description
Physical Description:	1 online resource (25 pages) : illustrations (some color), graphs, tables.
Bibliography:	Includes bibliographical references.