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|a dlr
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|a HG3881.5.I58
|b W67 NO.08/221
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|a K
|2 bicssc
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|a HCDD
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|a Roache, Shaun K.,
|e author.
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|a Commodities and the market price of risk /
|c prepared by Shaun K. Roache.
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|a Washington, D.C. :
|b International Monetary Fund,
|c ©2008.
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|c ©2008
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|a 1 online resource (23 pages) :
|b illustrations
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|a text
|b txt
|2 rdacontent
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|a computer
|b c
|2 rdamedia
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|a online resource
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|a At head of title: Finance Department.
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|a "September 2008."
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|a Includes bibliographical references (pages 18-20).
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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 Print version record.
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|3 Use copy
|f Restrictions unspecified
|2 star
|5 MiAaHDL
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|a Electronic reproduction.
|b [Place of publication not identified] :
|c HathiTrust Digital Library,
|d 2011.
|5 MiAaHDL
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|a 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.
|u http://purl.oclc.org/DLF/benchrepro0212
|5 MiAaHDL
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|a digitized
|c 2011
|h HathiTrust Digital Library
|l committed to preserve
|2 pda
|5 MiAaHDL
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|a I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; Appendix.
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|a Commodity futures
|x Econometric models.
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|a Risk
|x Econometric models.
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|a Capital assets pricing model.
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|a Capital assets pricing model
|2 fast
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|a Commodity futures
|x Econometric models
|2 fast
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|a Risk
|x Econometric models
|2 fast
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|a Capital Asset Pricing Model.
|2 stw
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|a Rohstoff-Futures.
|2 stw
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|a International Monetary Fund.
|b Finance Department.
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|i Print version:
|a Roache, Shaun K.
|t Commodities and the market price of risk.
|d Washington, D.C. : International Monetary Fund, ©2008
|w (OCoLC)314413535
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830 |
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|a IMF working paper ;
|v WP/08/221.
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|u https://ebookcentral.proquest.com/lib/holycrosscollege-ebooks/detail.action?docID=1605853
|y Click for online access
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|a EBC-AC
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|a 92
|b HCD
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