I investigate the determinants of the commodity futures risk premiums for different maturities through the lens of a model of adaptive expectations in which expected future spot prices are revised based on past prediction errors. The main results show that the time variation in risk premiums is predominantly driven by hedging vs speculation decisions and past performances, conditional on a set of aggregate macroeconomic fundamentals. In addition, a set of panel regressions show that the model-implied risk premiums significantly correlate with proxies of quantity of risk such as the realised variance and skewness. Finally, the empirical analysis provide evidence of business cycle fluctuations in the relationship between hedging pressure and risk premiums over different horizons.

我通过适应性预期模型的视角研究了不同到期日商品期货风险溢价的决定因素，在该模型中，预期未来现货价格根据过去的预测误差进行了修正。主要结果表明，风险溢价的时间变化主要受套期保值与投机决策以及过去表现的驱动，而条件是一系列宏观经济基本面的总和。此外，一组面板回归显示，模型隐含的风险溢价与风险量的代理（如已实现的方差和偏度）显着相关。最后，实证分析提供了在不同时期对冲压力与风险溢价之间关系的商业周期波动证据。