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E-Commerce Letters 2025
气候政策不确定性与大宗商品市场的风险溢出研究
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Abstract:
本研究以DY和BK溢出指数模型为基础，探讨了气候政策不确定性对中国大宗商品市场的风险溢出效应。通过构建时变波动溢出指数，捕捉了这一效应的动态时变特征，并建立了风险溢出网络模型，揭示了不同市场之间的风险传播路径。研究发现，气候政策不确定性对中国大宗商品市场存在显著的风险溢出效应，尤其受到高频和中频频域的影响。不同市场表现出明显的异质性，工业品市场主要作为波动溢出的传递者，而农产品市场则更倾向于成为波动溢出的接收者。此外，气候政策不确定性对于风险溢出效应的影响在不同频域 存在差异，较少受低频频域的影响。综合而言，本研究通过全面的实证检验，为政策制定者提供了深入了解气候政策调整对大宗商品市场风险传播的影响，特别是在不同频域和市场异质性方面。这一视角为制定应对策略和保障市场稳定性提供了有益的参考。
Based on the DY and BK spillover index models, this study explores the risk spillover effects of climate policy uncertainty on China’s commodity markets. By constructing a time-varying volatility spillover index to capture the dynamic and time-varying characteristics of these effects, and establishing a risk spillover network model, the study reveals the pathways of risk transmission among different markets. The findings indicate a significant risk spillover effect of climate policy uncertainty on China’s commodity markets, particularly influenced by high and medium-frequency domains. Different markets exhibit notable heterogeneity, with the industrial market primarily acting as a transmitter of volatility spillover, while the agricultural market tends to be a receiver. Additionally, the impact of climate policy uncertainty on risk spillover effects varies across different frequency domains, with a relatively minor influence from the low-frequency domain. Overall, this study, through comprehensive empirical testing, provides valuable insights for policymakers to gain a deeper understanding of the impact of climate policy adjustments on risk transmission in commodity markets, especially considering different frequency domains and market heterogeneity. Such insights serve as a useful reference for formulating strategies to address these challenges and ensure market stability.
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