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Social Science Research Network Working Paper Series (4 January 2013) Key: citeulike:12118207
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In this paper, we study variance risk premia in commodity markets. Using synthetic variance swaps, we find significant variance risk premia in 18 out of 21 markets. Typically, variance risk premia are negative, time-varying and their magnitudes increase with variance. Consistent with theory, we find a significant relation between variance risk premia and macroeconomic factors. Furthermore, we evaluate the information content of commodity variance risk premia for future returns. We show that gold’s variance risk premium has predictive power for returns in most of the markets considered. This economically significant predictive power is robust to the inclusion of traditional predictors.
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