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01762cas a2200241 a 4500 |
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|c 5.00 USD
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|z 9781451870794
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Roache, Shaun.
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|a Commodities and the Market Price of Risk /
|c Shaun Roache.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2008.
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| 300 |
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|a 1 online resource (23 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2008/221
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2008/221/001.2008.issue-221-en.xml
|z IMF e-Library
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