New Evidence on Agricultural Commodity Return Performance under Time‐Varying Risk
研究农产品大宗商品的条件风险与回报特征，发现高利率、预期通胀和经济高增长时期商品预期回报较低，表明商品可对冲商业周期风险。
Abstract Holding commodity stocks is a major investment that commodity producers, merchants, and processors must continually manage. In this paper we study the conditional risk and return characteristics of commodities. We use a generalized method of moments estimator in a model of conditional expected returns under a single‐beta asset pricing theory framework, allowing both the risk premium and the beta to vary with time. We find that expected returns to commodities are lower during times of high interest rates, expected inflation, and economic growth. This suggests that commodities provide a natural hedge against business cycles.