RDP 2017-03: Financialisation and the Term Structure of Commodity Risk Premiums Equation

Retur n c,m,t =ln( F c,m,t )+ln( S c,t+m ) =( ln( E t [ S c,t+m ] )ln( F c,m,t ) )+( ln( S c,t+m )ln( E t [ S c,t+m ] ) ) =Riskpremiu m c,m,t +( ln( E t [ S c,t+m ]+ ε c,m,t )ln( E t [ S c,t+m ] ) ) =Riskpremiu m c,m,t +ln( E t [ S c,t+m ]+ ε c,m,t E t [ S c,t+m ] ) =Riskpremiu m c,m,t +ln( 1+ ε c,m,t E t [ S c,t+m ] ) =Riskpremiu m c,m,t + e c,m,t MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaacaWGsbGaamyzaiaadshacaWG1bGaamOCaiaad6gadaWgaaWcbaGaam4yaiaacYcacaWGTbGaaiilaiaadshaaeqaaOGaeyypa0JaeyOeI0IaaeiBaiaab6gadaqadaqaaiaadAeadaWgaaWcbaGaam4yaiaacYcacaWGTbGaaiilaiaadshaaeqaaaGccaGLOaGaayzkaaGaey4kaSIaaeiBaiaab6gadaqadaqaaiaadofadaWgaaWcbaGaam4yaiaacYcacaWG0bGaey4kaSIaamyBaaqabaaakiaawIcacaGLPaaaaeaacqGH9aqpdaqadaqaaiaabYgacaqGUbWaaeWaaeaacaWGfbWaaSbaaSqaaiaadshaaeqaaOWaamWaaeaacaWGtbWaaSbaaSqaaiaadogacaGGSaGaamiDaiabgUcaRiaad2gaaeqaaaGccaGLBbGaayzxaaaacaGLOaGaayzkaaGaeyOeI0IaaeiBaiaab6gadaqadaqaaiaadAeadaWgaaWcbaGaam4yaiaacYcacaWGTbGaaiilaiaadshaaeqaaaGccaGLOaGaayzkaaaacaGLOaGaayzkaaGaey4kaSYaaeWaaeaacaqGSbGaaeOBamaabmaabaGaam4uamaaBaaaleaacaWGJbGaaiilaiaadshacqGHRaWkcaWGTbaabeaaaOGaayjkaiaawMcaaiabgkHiTiaabYgacaqGUbWaaeWaaeaacaWGfbWaaSbaaSqaaiaadshaaeqaaOWaamWaaeaacaWGtbWaaSbaaSqaaiaadogacaGGSaGaamiDaiabgUcaRiaad2gaaeqaaaGccaGLBbGaayzxaaaacaGLOaGaayzkaaaacaGLOaGaayzkaaaabaGaeyypa0JaamOuaiaadMgacaWGZbGaam4AaiaaykW7caWGWbGaamOCaiaadwgacaWGTbGaamyAaiaadwhacaWGTbWaaSbaaSqaaiaadogacaGGSaGaamyBaiaacYcacaWG0baabeaakiabgUcaRmaabmaabaGaaeiBaiaab6gadaqadaqaaiaadweadaWgaaWcbaGaamiDaaqabaGcdaWadaqaaiaadofadaWgaaWcbaGaam4yaiaacYcacaWG0bGaey4kaSIaamyBaaqabaaakiaawUfacaGLDbaacqGHRaWkcqaH1oqzdaWgaaWcbaGaam4yaiaacYcacaWGTbGaaiilaiaadshaaeqaaaGccaGLOaGaayzkaaGaeyOeI0IaaeiBaiaab6gadaqadaqaaiaadweadaWgaaWcbaGaamiDaaqabaGcdaWadaqaaiaadofadaWgaaWcbaGaam4yaiaacYcacaWG0bGaey4kaSIaamyBaaqabaaakiaawUfacaGLDbaaaiaawIcacaGLPaaaaiaawIcacaGLPaaaaeaacqGH9aqpcaWGsbGaamyAaiaadohacaWGRbGaaGPaVlaadchacaWGYbGaamyzaiaad2gacaWGPbGaamyDaiaad2gadaWgaaWcbaGaam4yaiaacYcacaWGTbGaaiilaiaadshaaeqaaOGaey4kaSIaaeiBaiaab6gadaqadaqaamaalaaabaGaamyramaaBaaaleaacaWG0baabeaakmaadmaabaGaam4uamaaBaaaleaacaWGJbGaaiilaiaadshacqGHRaWkcaWGTbaabeaaaOGaay5waiaaw2faaiabgUcaRiabew7aLnaaBaaaleaacaWGJbGaaiilaiaad2gacaGGSaGaamiDaaqabaaakeaacaWGfbWaaSbaaSqaaiaadshaaeqaaOWaamWaaeaacaWGtbWaaSbaaSqaaiaadogacaGGSaGaamiDaiabgUcaRiaad2gaaeqaaaGccaGLBbGaayzxaaaaaaGaayjkaiaawMcaaaqaaiabg2da9iaadkfacaWGPbGaam4CaiaadUgacaaMc8UaamiCaiaadkhacaWGLbGaamyBaiaadMgacaWG1bGaamyBamaaBaaaleaacaWGJbGaaiilaiaad2gacaGGSaGaamiDaaqabaGccqGHRaWkcaqGSbGaaeOBamaabmaabaGaaGymaiabgUcaRmaalaaabaGaeqyTdu2aaSbaaSqaaiaadogacaGGSaGaamyBaiaacYcacaWG0baabeaaaOqaaiaadweadaWgaaWcbaGaamiDaaqabaGcdaWadaqaaiaadofadaWgaaWcbaGaam4yaiaacYcacaWG0bGaey4kaSIaamyBaaqabaaakiaawUfacaGLDbaaaaaacaGLOaGaayzkaaaabaGaeyypa0JaamOuaiaadMgacaWGZbGaam4AaiaaykW7caWGWbGaamOCaiaadwgacaWGTbGaamyAaiaadwhacaWGTbWaaSbaaSqaaiaadogacaGGSaGaamyBaiaacYcacaWG0baabeaakiabgUcaRiaadwgadaWgaaWcbaGaam4yaiaacYcacaWGTbGaaiilaiaadshaaeqaaaaaaa@28C5@