Time Varying Risk Premia in Futures Markets

Author/Editor:

Graciela Laura Kaminsky ; Manmohan S. Kumar

Publication Date:

December 1, 1990

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.

Series:

Working Paper No. 90/116

English

Publication Date:

December 1, 1990

ISBN/ISSN:

9781451941968/1018-5941

Stock No:

WPIEA1161990

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

32

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