气候政策不确定性变化与能源市场收益率——基于条件分位数的证据  

Changes in Climate Policy Uncertainty and Energy Market Returns——Evidence Based on Conditional Quantiles

作　　者：徐义国[1,2] 韩新运 胡超敏 Xu Yiguo;Han Xinyun;Hu Chaomin(Faculty of Applied Economics,University of Chinese Academy of Social Sciences,Beijing 102488,China;National Institution for Finance&Development,Beijing 100020,China;School of Finance,Central University of Finance and Economics,Beijing 102206,China)

机构地区：[1]中国社会科学院大学应用经济学院,北京102488 [2]国家金融与发展实验室,北京100020 [3]中央财经大学金融学院,北京102206

出　　处：《工业技术经济》2023年第11期132-141,共10页Journal of Industrial Technological Economics

摘　　要：在全球应对气候变化,并向低碳能源转型的过程中,气候政策的不确定性越来越成为影响能源市场回报的重要因素。本文采用全球主要能源市场的历史收益数据和气候政策不确定性数据,通过QVAR模型构建基于不同条件分位数的溢出指数,研究了气候政策不确定性变化与能源市场收益率在整个条件分布上的关联性并分析左右尾部的溢出特征。结果表明:在不同条件下,气候政策不确定性变化对能源市场收益率存在差异性影响,极端状态下为能源市场回报溢出效应的净接收方,正常状态下则为净输出方。气候政策不确定性变化与能源市场回报总溢出效应由中间分位点向左右尾部逐渐提升,且溢出指数在整个条件分位数上呈现出U型结构。随着冲击规模增加,气候政策不确定性变化与能源市场回报的左右尾部溢出传染效应增强,且在极端上行与极端下行状态表现出非对称性影响。In the global response to climate change and the transition to low-carbon energy,climate policy uncertainty is increasingly becoming an important factor affecting energy market returns.In this paper,we use historical return data of major global energy markets and climate policy uncertainty data to construct spillover indices based on different conditional quartiles through QVAR models,and study the connectedness between changes in climate policy uncertainty and energy market returns across the conditional distributions and analyse the spillover characteristics of the left and right tails.The results show that climate policy uncertainty changes have differential impacts on energy market returns under different conditions,with the extreme condition being a net receiver of energy market return spillovers and the normal condition being a net exporter.The total spillover effect of climate policy uncertainty changes and energy market returns increases gradually from the middle tertile to the left and right tails,and the spillover index shows a U-shaped structure across the condition tertiles.As the size of the shock increases,the spillover contagion effect between climate policy uncertainty changes and energy market returns in the left and right tails becomes stronger,and shows an asymmetric effect in the extreme upward and extreme downward states.

关 键 词：气候政策不确定性 传统能源 清洁能源 市场收益率 条件分位数 溢出效应 

分 类 号：F831.5[经济管理—金融学] F426.2