Research on the impact of climate risk on product prices in futures market

doi:10.12006/j.issn.1673-1719.2024.043

Abstract

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.

Key words: Climate risk, GARCH model, Spillover effect, Futures product price index

WANG Qian, GUO Fu. Research on the impact of climate risk on product prices in futures market[J]. Climate Change Research, 2024, 20(4): 428-439.

Figures/Tables 11

Fig. 1 Mechanism analysis diagram

Table 1 Source files for major keywords

Table 2 Score table for specific keywords

Table 3 Representative meanings and sources of each macroeconomic variable

Table 4 Descriptive statistics of each variable

Table 5 Kendall rank correlation coefficient between climate risk index and four futures price indices under different Copula functions

Fig. 2 Correlation coefficient between climate risk index and price index of different futures products

Fig. 3 Value at risk and conditional value at risk trajectorics of price index of different futures products

Table 6 Conditional value at risk and value at risk summary statistics of different futures index series

Table 7 Yield estimation results of futures product price index

Table 8 Yield volatility estimation results of futures product price index

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