| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22793 |
| 来源ID | Working Paper 22793 |
| Commodities for the Long Run | |
| Ari Levine; Yao Hua Ooi; Matthew Richardson | |
| 发表日期 | 2016-11-07 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This paper analyzes a novel data set of commodity futures prices over a long sample period starting in 1877, which allows us to shed new light on several important and controversial questions. We document that commodity futures returns (1) have been positive on average; (2) vary significantly across business cycles, inflation episodes, and periods of backwardation versus contango, (3) are driven mostly by variation of spot returns and therefore closely linked to the underlying commodity spot market; (4) perform well during inflation cycles and provide more return in backwardated states; and (5) display low correlation with stocks and bonds. These long-run stylized facts imply that commodity futures can add value to a diversified portfolio from an asset allocation perspective. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; History ; Financial History |
| URL | https://www.nber.org/papers/w22793 |
| 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/580467 |
| 推荐引用方式 GB/T 7714 | Ari Levine,Yao Hua Ooi,Matthew Richardson. Commodities for the Long Run. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22793.pdf（1017KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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