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Volatility Risk Premia and Future Commodity Returns

Jose Ornelas and Roberto Mauad

No 455, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper extends the empirical literature on volatility risk premium (VRP) and future returns by analyzing the predictive ability of commodity currency VRP and commodity VRP. The empirical evidence throughout this paper provides support for a positive relationship of gold and commodity currencies VRP and future commodity returns, but only for the period after the 2008 global financial crisis. The commodity currencies VRP predictability survives the inclusion of control variables like equity VRP and past currency returns.

Date: 2017-04
New Economics Papers: this item is included in nep-fmk, nep-rmg and nep-upt
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Journal Article: Volatility risk premia and future commodity returns (2019) Downloads
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