摘要
在气候剧烈变化的背景下,能源安全和粮食安全已成为人类面临的重大挑战,气候政策不确定性正在对能源和农业市场产生深远影响。本文旨在系统分析气候政策不确定性、原油价格和农产品价格间的风险溢出效应,并揭示其对正常与极端市场状态的差异化影响。为此,本文采用基于条件分位数的溢出指数方法,捕捉整个条件分布上的溢出效应,精准挖掘左右尾的风险传染机制,揭示溢出效应的非对称性。结果表明,气候政策不确定性、原油和农产品之间的溢出效应呈非线性的U形结构,并且左右尾部风险传染效应表现出非对称性。不确定的气候政策和极端事件冲击使风险传染效应增强,极端下行状态的溢出传染效应显著高于极端上行状态。本文通过揭示气候政策不确定性框架下原油与农产品市场的风险溢出传导机制,为政策制定者构建风险预警机制、审慎推进能源转型,以及投资者管理风险敞口,提供了经验依据。
Against the backdrop of drastic climate change,energy security and food security represent major global challenges.Climate policy uncertainty(CPU)significantly impacts energy and agricultural markets.This paper systematically analyzes the risk spillover effects among climate policy uncertainty,crude oil prices,and agricultural product prices,examining their differential impacts under normal and extreme market conditions.Employing a conditional quantile-based spillover index method,we capture spillover effects across the entire conditional distribution.This approach precisely explores the risk contagion mechanisms at both left(lower)and right(upper)tails,revealing asymmetric spillover effects.The results demonstrate a nonlinear U-shaped structure in the spillover effects between CPU,crude oil,and agricultural products.Furthermore,risk contagion between the tails exhibits asymmetry.Uncertain climate policies and extreme events substantially amplify the risk contagion effect.Critically,the spillover effect in the extreme downward state is significantly stronger than in the extreme upward state.This study elucidates the risk spillover transmission mechanism within crude oil and agricultural markets under CPU,providing an empirical basis for policymakers to construct risk early warning mechanisms and prudently advance the energy transition,and for investors to manage risk exposure.
作者
张国富
张勇
ZHANG Guofu;ZHANG Yong(College of Economics and Management,Tianjin University of Science and Technology)
出处
《金融经济》
2025年第3期40-51,共12页
Finance Economy
基金
天津市哲学社会科学规划项目“运用金融高维非线性相依建模的经济‘双循环’全产业分析”(TJYJ21-009)。
关键词
气候政策不确定性
原油期货市场
中国农产品期货市场
条件分位数
Climate policy uncertainty
Crude oil futures market
Chinese agricultural futures market
Conditional quantile
