模拟气候因素,商品和金融市场之间的相互依赖
Fatemeh Mojtahedi1, Daniel Felix Ahelegbey2,3, Mario Martina1
1Department of Science, Technology and Society, University School for Advanced Studies IUSS, Pavia, Italy.
Heliyon
|September 12, 2024
概括
气候风险对商品价格和金融市场产生重大影响. 原油,棉花和糖类受到影响最大,而黄金受到影响最小,气候影响通过特定的大气模式传播.
科学领域:
- 环境经济学环境经济学
- 金融市场分析 金融市场分析
- 网络分析 网络分析
背景情况:
- 气候变化对全球经济系统带来了重大风险.
- 了解气候风险向金融和商品市场的传播道对于风险管理至关重要.
- 之前的研究已经探讨了气候影响,但基于网络的方法可以更深入地了解相互关联的市场动态.
研究的目的:
- 研究气候相关因素对商品价格和金融市场回报的影响.
- 确定最容易受到气候风险影响的特定商品和金融市场.
- 确定气候风险在这些市场中的传播模式.
主要方法:
- 使用贝叶斯网络向量自回归 (BN-VAR) 模型.
- 采用网络分析来绘制气候因素和市场变量之间的关系.
- 分析了主要大宗商品 (原油,棉花,糖,黄金) 和全球股市 (香港,印度,西班牙,瑞士) 的数据.
主要成果:
- 原油,棉花和糖价受到气候风险的重大影响;黄金受到的影响最小.
- 气候风险对商品的影响通过诸如太平洋北美模式 (PNA),NCEP/NCAR再分析 (NN1) 和北极振荡 (AO) 等模式传播.
- 香港,印度和西班牙的股票市场显示出对气候风险的高度敏感性,而瑞士的市场受到影响最小,通过诸如东北太平洋模式 (ENP),NN1和西太平洋模式 (WH) 等因素传播.
结论:
- 气候因素对商品和金融市场都有明显的影响.
- 特定的商品和地理股票市场对气候相关风险的脆弱性不同程度.
- 该研究强调了将气候风险评估纳入金融和商品市场分析的必要性,以改善绩效评估和战略规划.
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