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气候风险转移到商品市场:混合频率溢出方法的证据
Ye Chen1, Yu Wei2, Chunyan Zhou3
1Business School, China West Normal University, Nanchong, China.
Evaluation review
|October 29, 2025
概括
气候风险对商品市场产生重大影响,特别是使用高频数据. 这项研究揭示了气候风险导致市场溢出影响,这是传统分析中错过的发现.
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
- 气候科学 气候科学
背景情况:
- 气候风险和大宗商品市场之间的相互作用研究不足,特别是高频数据.
- 现有的分析可能会忽视气候相关金融风险对市场动态的微妙影响.
研究的目的:
- 调查物理和过渡性气候风险对商品市场的溢出效应.
- 引入和应用一种使用混合频率数据的新型分析框架.
主要方法:
- 开发新的气候风险指数.
- 应用一种创新的混合频率溢出效应措施.
- 高频气候数据与低频商品价格的整合.
主要成果:
- 确定了气候风险对商品市场的重大溢出效应.
- 发现气候风险是混合频率环境中这些溢出效应的主要驱动因素.
- 使用常见频率数据时没有检测到溢出效应.
结论:
- 气候风险对商品市场产生重大影响,需要先进的分析方法.
- 目前的市场分析方法可能不足以捕捉气候风险的全部影响.
- 调查结果为决策者和投资者提供了关于气候风险在市场波动中的作用的信息.
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