Work

Crash Risk Determinants in Commodities

Year: 2026

Type: article

Abstract: The goal of this work is to determine the crash risk of certain commodities and to study the impact of certain macroeconomic and geopolitical factors, such as the geopolitical risk index, GDP, CPI, and economic policy uncertainty, on crash risk for gold, silver, crude oil, and natural gas, spanning the period 2006–2023. The findings document that macroeconomic factors, economic uncertainty, and geopolitical variables play a substantial role in determining commodity price crash risk, while the role of the economic and uncertainty variables is stronger during the global financial crisis vis-à-vis during the pandemic crisis, with the opposite being true concerning the geopolitical variable. The results provide valuable insights into policymakers and investors.

Source: Journal of Financial Management Markets and Institutions

DOI: 10.1142/s2282717x26500015

Authors: NICHOLAS APERGIS, NIKOLETA BAKALI

Institutions: Prague University of Economics and Business, University of Piraeus

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W7150837869

FWCI:

Cites: 65

Cited by:

Related to: