{
  "title": "Commodities and the Market Price of Risk",
  "publication": "IMF Working Papers, September 1, 2008",
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  "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.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Author: Shaun K. Roache\n- Publication date: September 1, 2008\n- Series: Working Paper No. 2008/221\n- Volume: 2008; Issue: 221; Pages: 23\n- DOI: https://doi.org/10.5089/9781451870794.001\n- Stock No: WPIEA2008221\n- ISBN: 9781451870794\n- ISSN: 1018-5941\n- Sample period analyzed: January 1973 - February 2008\n- Research question: What macro risk exposures do commodity futures offer, and are these risks priced?"
    },
    {
      "heading": "Methodology and Data",
      "content": "- Model used: Merton's (1973) intertemporal capital asset pricing model (ICAPM).\n- Asset class analyzed: commodity futures.\n- Sample period: January 1973 - February 2008."
    },
    {
      "heading": "Key findings",
      "content": "- Commodity futures offer a hedge against lower interest rates.\n- Investors are willing to accept lower expected returns for positions that hedge against lower interest rates.\n- Some commodities provide a hedge against U.S. dollar depreciation, but this currency-hedge risk is not priced."
    },
    {
      "heading": "Subject and keywords",
      "content": "- Subject: Commodities, Futures, Market risk, Real interest rates, Return on investment\n- Keywords: futures contract, interest rate, risk premium, WP\n\nIMF Working Paper: \"Commodities and the Market Price of Risk\" by Shaun K. Roache, Working Paper No. 2008/221, September 1, 2008.\n\n---\n\n Content in this bundle\n\n- wp08221 - References\n  - wp08221 - References (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp08221 - References (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/commodities-and-the-market-price-of-risk-22317"
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    "Authors: Shaun K. Roache",
    "Published: September 1, 2008",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451870794.001",
    "Author: Shaun K. Roache",
    "Publication date: September 1, 2008",
    "Series: Working Paper No. 2008/221",
    "Volume: 2008; Issue: 221; Pages: 23",
    "DOI: https://doi.org/10.5089/9781451870794.001",
    "Stock No: WPIEA2008221",
    "ISBN: 9781451870794",
    "ISSN: 1018-5941",
    "Sample period analyzed: January 1973 - February 2008",
    "Research question: What macro risk exposures do commodity futures offer, and are these risks priced?",
    "Model used: Merton's (1973) intertemporal capital asset pricing model (ICAPM).",
    "Asset class analyzed: commodity futures.",
    "Sample period: January 1973 - February 2008.",
    "Commodity futures offer a hedge against lower interest rates.",
    "Investors are willing to accept lower expected returns for positions that hedge against lower interest rates.",
    "Some commodities provide a hedge against U.S. dollar depreciation, but this currency-hedge risk is not priced.",
    "Subject: Commodities, Futures, Market risk, Real interest rates, Return on investment",
    "Keywords: futures contract, interest rate, risk premium, WP",
    "**_wp08221 - References**"
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