| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19167 |
| 来源ID | Working Paper 19167 |
| Commodity and Asset Pricing Models: An Integration | |
| Gonzalo Cortazar; Ivo Kovacevic; Eduardo S. Schwartz | |
| 发表日期 | 2013-06-28 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We present a simple methodology that integrates commodity and asset pricing models. Given current evidence on the financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models and used to substantially improve the estimates of expected spot prices provided by current commodity price models. The methodology can be used with any pair of commodity and asset pricing models. An implementation of the methodology is presented using the Schwartz and Smith (2000) two-factor commodity price model and the CAPM. Reasonable expected spot prices are obtained without negative consequences in the model's fit to futures prices. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w19167 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576842 |
| 推荐引用方式 GB/T 7714 | Gonzalo Cortazar,Ivo Kovacevic,Eduardo S. Schwartz. Commodity and Asset Pricing Models: An Integration. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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