Carbon pricing and the commodity risk premium

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2024-11-14 DOI:10.1016/j.jcomm.2024.100447

Qiao Wang

引用次数: 0

Abstract

This paper examines whether the carbon pricing risk factor is priced in the cross-section of commodity futures. By analyzing unexpected pricing shocks in carbon emission allowances, carbon pricing risk is indeed priced in commodity futures, with a significant positive risk premium. The analysis of carbon pricing risk loadings reveals that individual commodities' sensitivities to carbon pricing risk vary. Additionally, commodity-specific characteristics, such as basis and hedging pressure, impact these risk loadings. Finally, I demonstrate that a portfolio of commodity futures constructed based on carbon pricing beta provides superior out-of-sample hedging performance for climate change risk compared to alternative hedge portfolios using equities or ETFs.

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碳定价与商品风险溢价

本文研究了碳定价风险因素是否在商品期货的横截面上被定价。通过分析碳排放配额的意外定价冲击，碳定价风险确实在商品期货中进行了定价，并具有显著的正风险溢价。对碳定价风险负载的分析表明，不同商品对碳定价风险的敏感度各不相同。此外，商品的具体特征，如基础和对冲压力，也会影响这些风险负荷。最后，我证明了基于碳定价贝塔值构建的商品期货组合与使用股票或 ETF 的其他对冲组合相比，在气候变化风险方面具有更优越的样本外对冲性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.