Climate policy uncertainty, geopolitical risk, oil volatility, and global food price volatility: A time-varying analysis

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2025-08-21 DOI:10.1016/j.econmod.2025.107272

Mohamed Abdelaziz Eissa , Hisham Al Refai , Georgios Chortareas

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Abstract

This study investigates the impact of climate policy uncertainty (CPU), geopolitical risk (GPR), economic policy uncertainty (EPU), and oil volatility (OVX) on global food price volatility (VFPI), addressing gaps in the literature on dynamic and multi-source uncertainty effects. Prior research has explored individual determinants of food price fluctuations, but few studies integrate multiple uncertainty indices in a time-varying framework. Using monthly data from June 2007 to August 2023, we apply a Time-Varying Coefficient Vector Autoregression (TVC-VAR) and Markov Switching VAR (MS-VAR) model to assess how these shocks propagate over time. Our results show that CPU has become an increasingly influential driver of food price volatility, especially post-2015, while GPR and OVX exert strong short-run effects. EPU displays a stabilizing influence, particularly during crises. These findings reveal evolving transmission mechanisms of uncertainty into food markets and highlight the need for adaptive, coordinated policy frameworks to safeguard global food security in an era of rising climate and geopolitical risks.

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气候政策不确定性、地缘政治风险、石油波动和全球粮食价格波动：时变分析

本研究探讨了气候政策不确定性（CPU）、地缘政治风险（GPR）、经济政策不确定性（EPU）和石油波动（OVX）对全球粮食价格波动（VFPI）的影响，填补了动态和多源不确定性效应的文献空白。以往的研究已经探讨了粮食价格波动的个别决定因素，但很少有研究将多个不确定性指标纳入时变框架。使用2007年6月至2023年8月的月度数据，我们应用时变系数向量自回归（TVC-VAR）和马尔可夫切换VAR （MS-VAR）模型来评估这些冲击如何随时间传播。我们的研究结果表明，CPU对食品价格波动的影响越来越大，尤其是在2015年后，而GPR和OVX具有较强的短期效应。EPU表现出稳定的影响，特别是在危机期间。这些发现揭示了不确定性对粮食市场的不断演变的传导机制，并强调了在气候和地缘政治风险不断上升的时代，需要建立适应性、协调一致的政策框架，以保障全球粮食安全。

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

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.