Commodity Price Crash Risk and Crash Risk Contagion
提出了衡量商品价格崩盘风险的方法，发现天然气、糖和咖啡的崩盘风险最高，投机和套期保值压力加剧风险，而基差风险缓解风险，且崩盘风险在商品回报横截面中被定价。
ABSTRACT In this study, we propose measures for the risk of commodity price crash. Building on the recent phenomenon of financialization of commodities, we advocate the use of down‐to‐up volatility (DUVOL) and a negative coefficient of skewness (NCSKEW) using 1‐min and daily data, respectively. We find that the crash risk is the highest for natural gas, sugar, and coffee and remains low to moderate for most precious metals. Subsequently, we explore the commodity‐specific drivers of crash risk upon controlling for macro‐economic variations. We find that speculation and hedging pressure exacerbate the crash risk of most commodities, whereas basis risk alleviates the crash risk of commodities. We document that crash risk is priced in the cross‐section of commodity returns. We also find that the crash risk spillovers are asymmetric, remaining low at 33% at the median and peaking at approximately 88% during the extremities.