Spillover effects between climate policy uncertainty, energy markets, and food markets: A time–frequency analysis

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-26 DOI:10.1016/j.frl.2025.107553

Ting Zhang , Peng-Fei Li , Wei-Xing Zhou

引用次数: 0

Abstract

The study examines the return connectedness between climate policy uncertainty (CPU), clean energy, fossil energy, and food markets. Using the time-domain method of Diebold and Yilmaz, (2012) and frequency-domain methods of Baruník and Křhlík (2018), we find substantial spillover effects between these markets. Furthermore, high frequency domain is the primary driver of overall connectedness. In addition, CPU is a net contributor of return shocks in the short term, whereas it turns to be a net recipient in the medium and long terms. Across all frequencies, clean energy and oils are consistent net recipients, while meat is a dominant net contributor.

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气候政策不确定性、能源市场和粮食市场之间的溢出效应：时频分析

该研究考察了气候政策不确定性（CPU）、清洁能源、化石能源和粮食市场之间的回报联系。使用Diebold和Yilmaz（2012）的时域方法和Baruník和Křhlík（2018）的频域方法，我们发现这些市场之间存在实质性的溢出效应。此外，高频域是整体连通性的主要驱动因素。此外，中央银行在短期内是回报冲击的净贡献者，而在中期和长期则是净接受者。在所有频率中，清洁能源和石油是一致的净接受者，而肉类是主要的净贡献者。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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