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Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets

Hongjun Zeng Orcid Logo, Mohammad Abedin Orcid Logo, Abdullahi D. Ahmed, Brian Lucey

Journal of Futures Markets, Volume: 45, Issue: 6, Pages: 659 - 682

Swansea University Author: Mohammad Abedin Orcid Logo

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DOI (Published version): 10.1002/fut.22583

Abstract

This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers...

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Published in: Journal of Futures Markets
ISSN: 0270-7314 1096-9934
Published: Wiley 2025
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URI: https://cronfa.swan.ac.uk/Record/cronfa69063
Abstract: This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions. (b) Wavelet coherence analysis proposes that the structure of the CPU connection with the grain commodity market is heterogeneous at time–frequency scales. (c) Under conditions of market stability, CPU's capability to predict risks in the most segmented grain commodity markets was not as pronounced as in extreme market scenarios. (d) The spillovers between CPU and major grain commodities under diverse quantile states were significantly influenced by climate change. Results from this paper have practical implications for investors managing climate-related risk exposures and will also assist policymakers in developing countries to develop a sensible policy package.
Keywords: climate policy uncertainty; grains commodity markets; quantile on quantile regression; quantile VAR; wavelet coherence
College: Faculty of Humanities and Social Sciences
Funders: Swansea University
Issue: 6
Start Page: 659
End Page: 682

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