Climate policy uncertainty, investor behavior, and carbon market returns

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2026-03-01 Epub Date: 2025-11-25 DOI:10.1016/j.jcomm.2025.100534

Zhenhua Liu , Hongyu Zhong , Deyuan Zhang

引用次数: 0

Abstract

This study investigates the dynamic impacts of climate policy uncertainty and investor behavior on carbon market returns by using the quasi-Bayes local likelihood time-varying parameter vector autoregression (QBLL-TVP-VAR) model. The empirical results indicate that climate policy uncertainty has significant time-varying impacts on carbon market returns, which is more critical during major international climate events. Moreover, investor behavior provides a transmission channel for the propagation between climate policy uncertainty shocks and the carbon market, but the role of different types of investor behavior is heterogeneous. These findings highlight the need to consider the nonlinear impact of climate policy uncertainty on the carbon market.

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气候政策不确定性、投资者行为和碳市场回报

本文采用拟贝叶斯局部似然时变参数向量自回归（QBLL-TVP-VAR）模型，研究了气候政策不确定性和投资者行为对碳市场收益的动态影响。实证结果表明，气候政策不确定性对碳市场收益具有显著的时变影响，且在重大国际气候事件中更为显著。此外，投资者行为为气候政策不确定性冲击与碳市场之间的传播提供了传导渠道，但不同类型的投资者行为所起的作用存在异质性。这些发现强调了考虑气候政策不确定性对碳市场的非线性影响的必要性。

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.