Research Discussion Paper – RDP 2017-03 Financialisation and the Term Structure of Commodity Risk Premiums

Contents

• Introduction
• Related Literature and Theory
• Data and Measurement of Commodity Risk Premiums
• The Term Structure of Risk Premiums and Net Hedging Positions
• The Effect of Financialisation on Commodity Risk Premiums
• Conclusion
• Appendix A: Derivation of the Risk Premium
• Appendix B: Commodity List
• Appendix C: Calculation of Holding Period Returns
• References

The authors would like to thank Michelle Wright, James Holloway, John Simon, Susan Black and seminar participants at the Reserve Bank of Australia for useful discussions and feedback. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia. The authors are solely responsible for any errors.