Macroeconomic factors and the cross-section of commodity futures returns
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DOI: 10.1016/j.iref.2016.06.008
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More about this item
Keywords
Commodity futures returns; Macroeconomic variables; Real exchange rate; Risk premium;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
Statistics
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