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Time Varying Risk Premia in Futures Markets

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 commodit...

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Bibliographic Details
Main Author: Kaminsky, Graciela
Other Authors: Kumar, Manmohan
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1990
Series:IMF Working Papers
Subjects:
Institutional Investors
Investment
Pension Funds
Investments: Futures
Finance
Farm Produce
Return On Investment
Financial Institutions
Financial Instruments
General Financial Markets: General (includes Measurement And Data)
Intangible Capital
Agriculture: General
National Accounts
Investments: Commodities
Derivative Securities
Non-bank Financial Institutions
Commodities
Financial Markets
Saving And Investment
Investments: General
Macroeconomics
Agricultural Commodities
Capacity
Investment & Securities
Futures Markets
Capital
Commercial Products
Futures
Finance: General
Commodity Markets
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
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
Physical Description:32 pages
ISBN:9781451941968

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