气候风险对期货市场产品价格的影响研究

doi:10.12006/j.issn.1673-1719.2024.043

摘要/Abstract

摘要：

以农产类、粮食类、能源类、化工类4类期货产品为研究对象，在阐述气候风险影响期货市场产品价格基本理论的基础上，采用文本分析和GARCH类模型相结合的方法，同时考虑4种宏观经济因素，定量评估了气候风险对期货市场产品价格的影响。结果表明，气候风险指数与能源类和化工类期货产品的价格指数呈正相关，且气候风险对能源类和化工类期货市场均具有风险溢出效应。当期的气候风险指数对农产类、能源类和化工类期货产品价格指数的收益率具有显著正向影响，对粮食类期货产品价格指数的收益率具有显著负向影响。当期的气候风险指数对农产类期货产品价格指数的收益波动率具有显著正向影响，对粮食类、化工类和能源类期货产品价格指数的收益波动率具有显著负向影响。研究结果揭示了气候风险对期货市场的复杂影响，有助于为金融市场应对气候风险提供科学依据。

关键词: 气候风险, GARCH模型, 溢出效应, 期货产品价格指数

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

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.

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.

图/表 11

图1 机制分析图

Fig. 1 Mechanism analysis diagram

表1 主要关键词来源文件

Table 1 Source files for major keywords

表2 具体关键词得分表

Table 2 Score table for specific keywords

表3 各宏观经济变量的代表意义及来源

Table 3 Representative meanings and sources of each macroeconomic variable

表4 各变量描述性统计结果

Table 4 Descriptive statistics of each variable

表5 不同Copula函数下气候风险指数与4种期货价格指数的Kendall秩相关系数

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

图2 气候风险指数与不同期货产品价格指数的相关系数注：图中I、II、III和IV分别代表第一、第二、第三和第四季度。

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

图3 不同期货产品价格指数的在险价值和条件在险价值轨迹图

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

表6 不同期货指数序列的条件在险价值和在险价值汇总统计

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

表7 期货产品价格指数的收益率估计结果

Table 7 Yield estimation results of futures product price index

表8 期货产品价格指数的收益波动率估计结果

Table 8 Yield volatility estimation results of futures product price index

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