时频视角下气候政策不确定性与能源、金属市场的溢出效应研究  

Research on the spillover effects among climate policy uncertainty,energy,and metal markets from the time-frequency perspective

作　　者：丁时杰[1] 梁治朋 谌金宇[1] DING Shijie;LIANG Zhipeng;CHEN Jinyu(School of Business,Central South University,Changsha 410083,China)

机构地区：[1]中南大学商学院,长沙410083

出　　处：《系统工程理论与实践》2023年第8期2222-2235,共14页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72104253);湖南省自然科学基金(2021JJ40797,2022JJ30764);长沙市自然科学基金(kq2202115)。

摘　　要：集成DY溢出指数与BK溢出指数方法,本文考察气候政策不确定性与能源、金属市场间的时频溢出效应,并构建溢出网络模型刻画气候政策不确定性与能源、金属跨市场风险传染路径.结果表明,气候政策不确定性与能源、金属市场之间存在显著的溢出效应,且主要表现为高频溢出.气候政策不确定性与能源、金属市场之间的溢出效应具有时变性,易受极端突发事件影响.在极端突发事件发生时,低频溢出会超过高频溢出成为气候政策不确定性与能源、金属市场间溢出效应的主要驱动力.在不同频域下,清洁能源市场都是溢出的输出者,传统能源市场则为溢出接收者.此外,气候政策不确定性在跨市场溢出机制中起到了重要节点作用,在气候政策不确定性助推下,跨市场风险沿着“清洁能源→金属市场→传统能源”路径进行传导.Integrating the DY spillover index and BK spillover index methods,this paper examines the time-frequency spillover effects between climate policy uncertainty,energy and metal markets,and constructs a spillover network model to portray the cross-market risk contagion paths between climate policy uncertainty,energy and metal.The results show that there are significant spillover effects between climate policy uncertainty,energy and metal markets,and they are mainly high-frequency spillovers.The spillover effects between climate policy uncertainty,energy and metal markets are time-varying and vulnerable to extreme emergencies.In the event of extreme contingencies,low-frequency spillovers can overtake high-frequency spillovers as the main driver of spillovers between climate policy uncertainty,energy and metal markets.In different frequency domains,clean energy markets are the exporters of spillovers and conventional energy markets are the recipients of spillovers.In addition,climate policy uncertainty plays an important nodal role in the cross-market spillover mechanism,and cross-market risk is transmitted along the path of“clean energy→metal markets→traditional energy”,fueled by climate policy uncertainty.

关 键 词：气候政策不确定性 时域 频域 溢出效应 

分 类 号：F064.1[经济管理—政治经济学]