Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective

Wang, Kai-Hua; Kan, Jia-Min; Qiu, Lianhong; Xu, Shulin

doi:10.1016/j.eap.2023.03.013

Cited by 24 publications

(5 citation statements)

References 96 publications

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“…Against the backdrop of the current uncertain global economic situation and ongoing regional conflicts, China continues to be the engine of the world economy, and the characteristics of China's EPU have aroused widespread concern (Zhang et al 2015; Yang and Jiang 2016; Dang et al 2019; Li, Lin, et al 2022; Wang et al 2023a). The specific features are as follows.…”

Section: Literature Reviewmentioning

confidence: 99%

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Wang,

Liu

et al. 2023

Asian-Pac Economic Lit

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This paper investigates the connectedness between China's economic policy uncertainty (EPU) and the geopolitical risk (GPR) of the countries in the Association of Southeast Asian Nations (ASEAN) using quantile time‐varying parameter vector autoregression. The empirical results indicate that China's EPU becomes a net risk transmitter at the median quantile, demonstrating that ASEAN countries' GPR is vulnerable to China's economic shocks. Furthermore, extreme events such as COVID‐19 amplify the connection between EPU and GPR, leading to a higher total connectedness index value. Moreover, the pairwise spillover effect analysis reflects that the risk launcher effect of China's EPU is longer and more prominent for Thailand and the Philippines than for Malaysia and Indonesia, which enriches the hypothesis. The contributions are as follows. This paper selects emerging China as the research object and first discusses its economic influence on neighbouring countries. In addition, fully analysing the heterogeneous spillover effects of EPU on the GPR of different countries makes our suggestions diversified and practical. Therefore, improving recognisable ability and institutional quality will promote ASEAN countries to mitigate their vulnerability to China's EPU shocks. Meanwhile, China's government should quickly respond to external uncertainties, prudently adjust economic policies, and avoid large swings of EPU volatility.

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Section: Literature Reviewmentioning

confidence: 99%

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Wang,

Liu

et al. 2023

Asian-Pac Economic Lit

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“…The establishment of the public resources trading center optimizes the management system of market-oriented allocation of public resources, efficiently streamlines corporate business processes, and reduces administrative and time costs. The information asymmetry between the government and enterprises will raise the cost of the government's supervision of enterprise behavior, reducing the supporting role of the government's green preferential policies on green technology innovation in enterprises [13,14]. Enterprises can better get the resources needed for innovation and achieve the transition of innovation advantages with the development of a public resource trading center, resulting in stronger practical capacity and intrinsic motivation to apply innovative behaviors [15].…”

Section: Theoretical Analysis and Research Hypothesismentioning

confidence: 99%

Green Innovation Effect of Public Resource Trading Centers: An Empirical Study Based on China's A-share Listed Companies

Li,

Jia,

Xie

2023

Pol. J. Environ. Stud.

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China's development has been speeding up in recent years. Government functions must be modified, and market-oriented resource allocation must be accelerated, to accelerate the development of a high-quality economy. Two of these have piqued the interest of academic and governmental circles alike: promoting the reform of the system for trading public resources and enabling innovative growth of the real economy through the market-based allocation of public resources. According to Renmin University of China's "Report on the Development of China's Public Resource Transactions (2022)," as a result of China's recent rapid development

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“…Climate change is considered as one of the major systematic risks for global society and therefore a key determinant of investment decisions and market dynamics (Fuss et al, 2008;Pastor and Veronesi, 2012;Huang et al, 2018;Salisu et al, 2020;Berkman et al, 2021;Lasisi et al, 2022). Recent studies have shown a high degree of interconnectedness between CPU and commodity markets, for instance, CPU have been found to exert great movements in the energy and agricultural commodity market (Battiston et al, 2017;Fang et al, 2019;Ghadge et al, 2020;Wang et al, 2023). For more than 3 decades, the social and economic implications of global climate change have been the subject of both political and academic debates (see Guyatt, 2011;Clapp et al, 2018;Hunt & Weber, 2019;Bender et al, 2019;Venturini, 2022;among others).…”

Section: Introductionmentioning

confidence: 99%

Commodity Market Volatility and Climate Policy Uncertainty: A GARCH-MIDAS Approach

Lasisi,

Ngwu,

Nnamdi

2024

Preprint

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In this study, we employ the GARCH-MIDAS (Generalised Autoregressive Conditional Heteroskedasticity variant of Mixed Data Sampling) model to explore the predictability of commodity return volatility in relation to US climate policy uncertainty (CPU). Our analysis utilizes the 20-day annualized realized commodity volatility returns of nine global commodities (Aluminium, Cocoa, Coffee, Copper, Cotton, Rice, Soybean, Sugar, and Wheat) to construct the GARCH-MIDAS model, with Climate Policy Uncertainty (CPU) serving as the predictive variable. The outcomes of our investigation reveal a consistently positive and statistically significant relationship between CPU and the selected commodities. This implies that CPU effectively serves as a robust predictor of volatility in commodity returns. The implications drawn from our results suggest that climate change policies play a pivotal role in influencing economic activities within the commodity market. This underscores the substantial impact of climate change considerations on investment decisions and further emphasizes the integral role of climate change in shaping economic choices.

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Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective

Cited by 24 publications

References 96 publications

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Green Innovation Effect of Public Resource Trading Centers: An Empirical Study Based on China's A-share Listed Companies

Commodity Market Volatility and Climate Policy Uncertainty: A GARCH-MIDAS Approach

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