气候变化研究进展2024，Vol.20Issue(4)：428-439,12.DOI:10.12006/j.issn.1673-1719.2024.043
气候风险对期货市场产品价格的影响研究
Research on the impact of climate risk on product prices in futures market
摘要
Abstract
Based on the basic theory of the impact of climate risk on product prices in futures market and the combination of text analysis and GARCH model,the impacts of climate risk on product prices in futures market were quantitatively evaluated by taking four kinds of macroeconomic factors into account.The results show that,the climate risk index has a positive correlation with the price index of energy and chemical futures,and climate risk has risk spillover effect on both energy futures and chemical futures markets.The current climate risk index has a significant positive impact on the yield of agricultural,energy and chemical futures price index,and a significant negative impact on the yield of grain futures price index.The current climate risk index has a significant positive impact on the yield volatility of agricultural futures price index,and a significant negative impact on the yield volatility of grain,chemical and energy futures price index.The research results reveal the complex impact of climate risks on futures markets and help provide scientific basis for financial markets to cope with climate risks.关键词
气候风险/GARCH模型/溢出效应/期货产品价格指数Key words
Climate risk/GARCH model/Spillover effect/Futures product price index引用本文复制引用
王倩,郭福..气候风险对期货市场产品价格的影响研究[J].气候变化研究进展,2024,20(4):428-439,12.基金项目
上海市哲学社会科学规划项目"上海自贸区临港新片区国际离岸金融中心建设研究"(2020BGJ004) （2020BGJ004）
