The role of financial investors in determining the commodity futures risk premium

2020 ◽  
Vol 40 (9) ◽  
pp. 1375-1397
Author(s):  
Mohammad Isleimeyyeh
Keyword(s):  
Risk Premium ◽  
Commodity Futures

The Role of Financial Investors on Commodity Futures Risk Premium

2018 ◽  
Author(s):  
Mohammad Isleimeyyeh
Keyword(s):  
Risk Premium ◽  
Commodity Futures

scholarly journals Capturing the risk premium of commodity futures: The role of hedging pressure

2013 ◽  
Vol 37 (7) ◽  
pp. 2652-2664 ◽  
Author(s):  
Devraj Basu ◽  
Joëlle Miffre
Keyword(s):  
Risk Premium ◽  
Commodity Futures

Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure

2009 ◽  
Author(s):  
Devraj Basu ◽  
Joelle Miffre
Keyword(s):  
Risk Premium ◽  
Commodity Futures

Return Characteristics of Commodities

2018 ◽  
Author(s):  
Dianna Preece
Keyword(s):  
Financial Crisis ◽  
Negative Correlation ◽  
Institutional Investors ◽  
Financial Stress ◽  
Commodity Futures ◽  
Futures Contracts ◽  
The Subject ◽  
Diversified Portfolio

The role of commodities in a diversified portfolio has been the subject of research and debate since the late 1970s. Investors can hold the physical commodity or use derivatives such as futures contracts to access commodity exposure. Institutional investors primarily gain exposure to commodities via futures contracts. Commodity futures returns are comprised of a collateral return, a spot return, and a roll return. Research dating back to the late 1970s suggests that commodities should be included in diversified portfolios because they act as an inflation hedge, are portfolio diversifiers due to negative correlation with stocks and bonds, and potentially offer returns and volatility comparable to equities. Commodity performance has been generally weak in the years following the financial crisis of 2007–2008. Many studies find that correlation of commodity returns with stocks and bonds increases during periods of financial stress.

On the role of commodity futures in portfolio diversification

2021 ◽  
Author(s):  
Hooi Hooi Lean ◽  
Duc Khuong Nguyen ◽  
Ahmet Sensoy ◽  
Gazi Salah Uddin
Keyword(s):  
Commodity Futures ◽  
Portfolio Diversification

Multidimensional Assessment of Economies by the Level of Sovereign Risk Premium

2020 ◽  
Vol 2020 (2) ◽  
pp. 3-27
Author(s):  
Sergey Drobyshevsky ◽  
Pavel Trunin ◽  
Lyudmila Gadiy ◽  
Mariya Chembulatova
Keyword(s):  
Monetary Policy ◽  
Risk Premium ◽  
International Market ◽  
Developed Countries ◽  
Credit Default Swaps ◽  
Sovereign Risk ◽  
Political Risks ◽  
Credit Default ◽  
Monetary Authorities

The analysis of the international market for credit default swaps (CDS) shows that the interdependence of sovereign CDS spreads is increasing and the market remains segmented. However, the reduction in the variation of sovereign CDS spreads means increased competition for capital and should be taken into account by monetary authorities of developed countries when they tighten monetary policy. The article shows a significant role of political risks in determining the level of sovereign risk.

Forecasting equity returns: The role of commodity futures along the supply chain

2020 ◽  
Vol 41 (1) ◽  
pp. 46-71
Author(s):  
Chenchen Li ◽  
Chongfeng Wu ◽  
Chunyang Zhou
Keyword(s):  
Supply Chain ◽  
Equity Returns ◽  
Commodity Futures

scholarly journals Risk Premia and the Real Effects of Money

2020 ◽  
Vol 110 (7) ◽  
pp. 1995-2040 ◽  
Author(s):  
Sebastian Di Tella
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Risk Sharing ◽  
Optimal Allocation ◽  
Price Theory ◽  
The Real ◽  
Friedman Rule ◽  
Real Effects ◽  
Tax Subsidy

This paper proposes a flexible-price theory of the role of money in an economy with incomplete idiosyncratic risk sharing. When the risk premium goes up, money provides a safe store of value that prevents interest rates from falling, reducing investment. Investment is too high during booms when risk is low, and too low during slumps when risk is high. Monetary policy cannot correct this: money is superneutral and Ricardian equivalence holds. The optimal allocation requires the Friedman rule and a tax/subsidy on capital. The real effects of money survive even in the cashless limit. (JEL E32, E41, E43, E44, E52)

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