Xiaoqing Wang, Wenxin Jin, Baochang Xu, Kaihua Wang
{"title":"不确定性环境下碳期货的波动性:考虑地缘政治和经济政策因素","authors":"Xiaoqing Wang, Wenxin Jin, Baochang Xu, Kaihua Wang","doi":"10.1002/fut.22565","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>This study uses a quantile autoregressive distributed lag model to quantitatively evaluate the effects of economic policy uncertainty (EPU) and geopolitical risk (GPR) on volatility in carbon futures (carbon trading price [CTP]), considering both quantile and time asymmetries. The findings show that long-term effects of GPR on CTP are more significant than the short-term effects, contrary to EPU. Both EPU and GPR have predominantly positive long-term effects on CTP, while EPU negatively affects CTP and geopolitical factors show mixed influences in the short term. The location asymmetry reveals that the long-term impacts are most pronounced at higher quantiles, whereas the short-term effects exhibit subtle variations across different quantiles. The influences intensify during structural shifts owing to heightened events. Moreover, EPU is proven as a dominant contributor influencing the fluctuation of CTP both in the short and long terms. The findings provide targeted recommendations for policymakers to stabilize CTP and contribute towards achieving sustainable development.</p>\n </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"308-325"},"PeriodicalIF":2.3000,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors\",\"authors\":\"Xiaoqing Wang, Wenxin Jin, Baochang Xu, Kaihua Wang\",\"doi\":\"10.1002/fut.22565\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div>\\n \\n <p>This study uses a quantile autoregressive distributed lag model to quantitatively evaluate the effects of economic policy uncertainty (EPU) and geopolitical risk (GPR) on volatility in carbon futures (carbon trading price [CTP]), considering both quantile and time asymmetries. The findings show that long-term effects of GPR on CTP are more significant than the short-term effects, contrary to EPU. Both EPU and GPR have predominantly positive long-term effects on CTP, while EPU negatively affects CTP and geopolitical factors show mixed influences in the short term. The location asymmetry reveals that the long-term impacts are most pronounced at higher quantiles, whereas the short-term effects exhibit subtle variations across different quantiles. The influences intensify during structural shifts owing to heightened events. Moreover, EPU is proven as a dominant contributor influencing the fluctuation of CTP both in the short and long terms. The findings provide targeted recommendations for policymakers to stabilize CTP and contribute towards achieving sustainable development.</p>\\n </div>\",\"PeriodicalId\":15863,\"journal\":{\"name\":\"Journal of Futures Markets\",\"volume\":\"45 4\",\"pages\":\"308-325\"},\"PeriodicalIF\":2.3000,\"publicationDate\":\"2025-01-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Futures Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/fut.22565\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22565","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors
This study uses a quantile autoregressive distributed lag model to quantitatively evaluate the effects of economic policy uncertainty (EPU) and geopolitical risk (GPR) on volatility in carbon futures (carbon trading price [CTP]), considering both quantile and time asymmetries. The findings show that long-term effects of GPR on CTP are more significant than the short-term effects, contrary to EPU. Both EPU and GPR have predominantly positive long-term effects on CTP, while EPU negatively affects CTP and geopolitical factors show mixed influences in the short term. The location asymmetry reveals that the long-term impacts are most pronounced at higher quantiles, whereas the short-term effects exhibit subtle variations across different quantiles. The influences intensify during structural shifts owing to heightened events. Moreover, EPU is proven as a dominant contributor influencing the fluctuation of CTP both in the short and long terms. The findings provide targeted recommendations for policymakers to stabilize CTP and contribute towards achieving sustainable development.
期刊介绍:
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.