Time Varying Risk Premia in Futures Markets

32 Pages Posted: 15 Feb 2006

See all articles by Graciela Kaminsky

Graciela Kaminsky

National Bureau of Economic Research (NBER); George Washington University - Department of Economics

Date Written: December 1990

Abstract

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.

JEL Classification: 130, 200

Suggested Citation

Kaminsky, Graciela, Time Varying Risk Premia in Futures Markets (December 1990). IMF Working Paper, Vol. , pp. 1-32, 1990. Available at SSRN: https://ssrn.com/abstract=885148

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