Data from: One Hundred Years of Rare Disaster Concerns and Commodity Prices

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 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).<br>This excel document contains the main data for the paper: "One Hundred Years of Rare Disaster Concerns and Commodity Prices". Commodity returns data is from Levine, Ooi, Richardson, and Sasseville (2018), https://doi.org/10.2469/faj.v74.n2.4The Matlab code for result replication is available at Qunzi Zhang's website:https://sites.google.com/site/zhangqunzi/