A Rational Expectations Model of Time Varying Risk Premia in Commodities Futures Markets : Theory and Evidence  

Oleh:

Beck, Stacie E.

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 34 no. 1 (1993), page 149-168.
Topik: risks; rational expectation models; time varying risk premia; commodities; markets; evidence

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The intertemporal hedging theory is used to model the role of spot price risk, measured by the variance, in futures market risk premia. The model gives a theoretical basis for treating the variance as serially correlated when commodities are storable. The rational expectations hypothesis implies that agents use the variance process to predict risk ; therefore the expected variance should be incorporated in equilibrium risk premia. Tests on data from four commodity markets show that variances do have predictable components ; however, premia are related to expected variances in only one market.

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