Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market: Time-frequency evidence from Quantile-on-Quantile regression

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE North American Journal of Economics and Finance Pub Date : 2024-08-17 DOI:10.1016/j.najef.2024.102263

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Abstract

This study investigates the dynamic risk nexus among climate risks, oil shocks and China’s energy futures market from a time–frequency-quantile perspective. We first explore the dynamic connectedness of “climate risks – oil shocks – energy futures” and examine the risk transmission channels through mediation effects model. The Quantile-on-Quantile regression is used to study the time–frequency impact of climate risks and oil shocks on energy futures across different market conditions and investment horizons. Our empirical results are as follows: First, climate transition risks, oil demand and risk shocks play mediating roles in risk transmission channels. Second, the impact of climate risks and oil shocks on energy futures is heterogeneous and asymmetric under extreme conditions. Notably, global warming, oil supply shock and international climate summits are the greatest shocks to China’s energy market. Finally, climate risks and oil shocks are more pronounced in the short term. Overall, these findings offer valuable insights for shaping risk management strategies and implementing effective hedging practices within the energy market.

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气候风险、石油冲击和中国能源期货市场的动态关联性：量化回归的时频证据

本研究从时间-频率-配位的角度研究了气候风险、石油冲击和中国能源期货市场之间的动态风险关联。我们首先探讨了 "气候风险-石油冲击-能源期货 "的动态关联性，并通过中介效应模型考察了风险传导渠道。我们采用 "量纲-量纲回归 "的方法，研究了气候风险和石油冲击在不同市场条件和投资期限下对能源期货的时频影响。我们的实证结果如下：首先，气候转型风险、石油需求和风险冲击在风险传导渠道中起到中介作用。其次，在极端条件下，气候风险和石油冲击对能源期货的影响具有异质性和非对称性。其中，全球变暖、石油供应冲击和国际气候峰会对中国能源市场的冲击最大。最后，气候风险和石油冲击在短期内更为明显。总之，这些研究结果为能源市场制定风险管理策略和实施有效的套期保值做法提供了宝贵的启示。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.