One hundred years of rare disaster concerns and commodity prices
研究发现，以新闻隐含波动率衡量的罕见灾难担忧，在1926至2016年间能有效预测指数商品期货回报，且预测效果优于商业周期、宏观经济变量和VIX指数。
Abstract This paper shows that rare disaster concern, defined as the news‐implied volatility, performs very well at predicting the return of index commodity futures throughout the whole century (1926–2016). This result holds after controlling for the current business cycle conditions, the macroeconomic variables, and the Volatility Index (VIX). We also find that rare disaster concern performs very well at predicting index commodity futures returns out‐of‐sample. The results remain robust while considering different macroeconomic conditions, such as recession (expansion), contango (backwardation), or inflation up (down).