No Cover Image

Journal article 386 views 123 downloads

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

  • 69063.VOR.pdf

    PDF | Version of Record

    © 2025 The Author(s). This is an open access article under the terms of the Creative Commons Attribution License.

    Download (4.14MB)

Check full text

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...

Full description

Published in: Journal of Futures Markets
ISSN: 0270-7314 1096-9934
Published: Wiley 2025
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa69063
first_indexed 2025-03-07T12:18:05Z
last_indexed 2025-05-15T10:49:10Z
id cronfa69063
recordtype SURis
fullrecord <?xml version="1.0"?><rfc1807><datestamp>2025-05-14T15:10:20.3154281</datestamp><bib-version>v2</bib-version><id>69063</id><entry>2025-03-07</entry><title>Quantile and Time&#x2013;Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets</title><swanseaauthors><author><sid>4ed8c020eae0c9bec4f5d9495d86d415</sid><ORCID>0000-0002-4688-0619</ORCID><firstname>Mohammad</firstname><surname>Abedin</surname><name>Mohammad Abedin</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2025-03-07</date><deptcode>CBAE</deptcode><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&#x2013;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.</abstract><type>Journal Article</type><journal>Journal of Futures Markets</journal><volume>45</volume><journalNumber>6</journalNumber><paginationStart>659</paginationStart><paginationEnd>682</paginationEnd><publisher>Wiley</publisher><placeOfPublication/><isbnPrint/><isbnElectronic/><issnPrint>0270-7314</issnPrint><issnElectronic>1096-9934</issnElectronic><keywords>climate policy uncertainty; grains commodity markets; quantile on quantile regression; quantile VAR; wavelet coherence</keywords><publishedDay>1</publishedDay><publishedMonth>6</publishedMonth><publishedYear>2025</publishedYear><publishedDate>2025-06-01</publishedDate><doi>10.1002/fut.22583</doi><url/><notes/><college>COLLEGE NANME</college><department>Management School</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>CBAE</DepartmentCode><institution>Swansea University</institution><apcterm>SU Library paid the OA fee (TA Institutional Deal)</apcterm><funders>Swansea University</funders><projectreference/><lastEdited>2025-05-14T15:10:20.3154281</lastEdited><Created>2025-03-07T12:15:08.5040779</Created><path><level id="1">Faculty of Humanities and Social Sciences</level><level id="2">School of Management - Accounting and Finance</level></path><authors><author><firstname>Hongjun</firstname><surname>Zeng</surname><orcid>0000-0002-5437-2710</orcid><order>1</order></author><author><firstname>Mohammad</firstname><surname>Abedin</surname><orcid>0000-0002-4688-0619</orcid><order>2</order></author><author><firstname>Abdullahi D.</firstname><surname>Ahmed</surname><order>3</order></author><author><firstname>Brian</firstname><surname>Lucey</surname><order>4</order></author></authors><documents><document><filename>69063__33961__45863632633c4c41ada08d3ad12e89d6.pdf</filename><originalFilename>69063.VOR.pdf</originalFilename><uploaded>2025-04-07T10:50:34.7509384</uploaded><type>Output</type><contentLength>4342309</contentLength><contentType>application/pdf</contentType><version>Version of Record</version><cronfaStatus>true</cronfaStatus><documentNotes>&#xA9; 2025 The Author(s). This is an open access article under the terms of the Creative Commons Attribution License.</documentNotes><copyrightCorrect>true</copyrightCorrect><language>eng</language><licence>http://creativecommons.org/licenses/by/4.0/</licence></document></documents><OutputDurs/></rfc1807>
spelling 2025-05-14T15:10:20.3154281 v2 69063 2025-03-07 Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2025-03-07 CBAE 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. Journal Article Journal of Futures Markets 45 6 659 682 Wiley 0270-7314 1096-9934 climate policy uncertainty; grains commodity markets; quantile on quantile regression; quantile VAR; wavelet coherence 1 6 2025 2025-06-01 10.1002/fut.22583 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2025-05-14T15:10:20.3154281 2025-03-07T12:15:08.5040779 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Hongjun Zeng 0000-0002-5437-2710 1 Mohammad Abedin 0000-0002-4688-0619 2 Abdullahi D. Ahmed 3 Brian Lucey 4 69063__33961__45863632633c4c41ada08d3ad12e89d6.pdf 69063.VOR.pdf 2025-04-07T10:50:34.7509384 Output 4342309 application/pdf Version of Record true © 2025 The Author(s). This is an open access article under the terms of the Creative Commons Attribution License. true eng http://creativecommons.org/licenses/by/4.0/
title Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
spellingShingle Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
Mohammad Abedin
title_short Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
title_full Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
title_fullStr Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
title_full_unstemmed Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
title_sort Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Hongjun Zeng
Mohammad Abedin
Abdullahi D. Ahmed
Brian Lucey
format Journal article
container_title Journal of Futures Markets
container_volume 45
container_issue 6
container_start_page 659
publishDate 2025
institution Swansea University
issn 0270-7314
1096-9934
doi_str_mv 10.1002/fut.22583
publisher Wiley
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2025-06-01T07:34:24Z
_version_ 1850743419266138112
score 11.088929

Similar Items