摘要
在应对气候变化过程中,气候政策不确定性已成为金融市场间风险传染的重要诱因。本文运用MODWT和基于TVP-VAR的联合溢出指数模型研究清洁能源市场和金属市场之间的关联性,并进一步借助前沿的分位数对分位数回归方法,以探讨气候政策不确定性的不同分位点对市场总溢出和静态溢出不同分布的影响。研究结果表明,清洁能源与金属市场之间存在显著的动态溢出效应,且主要表现为长期溢出,其中清洁能源和有色金属市场主要为溢出输出者,战略性金属市场是主要的溢出接受者。气候政策不确定性对清洁能源和金属市场的溢出效应的影响存在时变性和非对称性,在市场状态下行时期影响程度更高。研究结论可为投资者构建多元化投资组合和监管机构制定气候政策提供经验依据。
In the process of responding to climate change,climate policy uncertainty has become an important inducement of risk contagion among financial markets.In this paper,we use MODWT and TVP-VAR-based joint spillover index model to study the correlation between the clean energy market and the metal market,and further explore the impact of different quantiles of climate policy uncertainty on the different distributions of total and static spillovers by using the cutting-edge quantile to quantile regression method.The results show that there is a significant dynamic spillover effect between the clean energy and metal markets,and the main manifestations are long-term spillovers,in which the clean energy and non-ferrous metals markets are mainly the spillover exporters,and the strategic metals markets are the main spillover recipients.The impact of climate policy uncertainty on the spillover effects of clean energy and metals markets is time-varying and asymmetrical,and the impact is higher during the downturn of the market state.The findings of the study can provide an empirical basis for investors to build diversified portfolios and for regulators to formulate climate policies.
作者
周玉琴
刘欣
Zhou Yuqin;Liu Xin(School of Economics and Management,Chongqing Normal University,Chongqing 401331,China)
出处
《重庆师范大学学报(社会科学版)》
2025年第2期87-103,共17页
Journal of Chongqing Normal University(Edition of Social Sciences)
基金
重庆市教委人文社科项目“‘一带一路’沿线国家主权债务风险传染研究”(23SKGH097)。
