## Commodities and the Market Price of Risk

_IMF Working Papers, September 1, 2008_

## Source details

**Canonical URL:** [Commodities and the Market Price of Risk](https://www.imf.org/en/publications/wp/issues/2016/12/31/commodities-and-the-market-price-of-risk-22317)

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## Bibliographic details
- Authors: Shaun K. Roache
- Published: September 1, 2008
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451870794.001

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### Summary
- 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?

### Methodology and Data
- Model used: Merton's (1973) intertemporal capital asset pricing model (ICAPM).
- Asset class analyzed: commodity futures.
- Sample period: January 1973 - February 2008.

### Key findings
- 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 and keywords
- Subject: Commodities, Futures, Market risk, Real interest rates, Return on investment
- Keywords: futures contract, interest rate, risk premium, WP

*IMF Working Paper: "Commodities and the Market Price of Risk" by Shaun K. Roache, Working Paper No. 2008/221, September 1, 2008.*

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/commodities-and-the-market-price-of-risk-22317_