The tail risk premium in the oil market

被引：0
|
作者：
Ellwanger, Reinhard [1 ]
机构：
[1] Bank Canada, Int Econ Anal Dept, 234 Wellington St, Ottawa, ON K1A 0G9, Canada
来源：
ENERGY ECONOMICS | 2025年 / 141卷
关键词：
Tail risk; Options prices; Crude oil; Return predictability; TIME-VARYING RISK; RARE DISASTERS; PRICE; VOLATILITY; UNCERTAINTY; RETURNS;
D O I：
10.1016/j.eneco.2024.108041
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies tail risk and its option-implied risk compensation in the crude oil market. We identify economically large premia for upside and downside tail risks that significantly forecast crude oil futures returns. These premia are also reflected in the convenience yield for physical oil, which amplifies the predictive power for spot returns. Oil tail risk premia are not spanned by aggregate uncertainty measures, suggesting that shifts in market-specific risk attitudes contribute to commodity price volatility and return predictability.
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页数：9
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