气候风险对期货市场产品价格的影响研究  

Research on the impact of climate risk on product prices in futures market

作　　者：王倩 郭福 WANG Qian;GUO Fu(School of Economics and Management,Shanghai Ocean University,Shanghai 201306,China)

机构地区：[1]上海海洋大学经济管理学院,上海201306

出　　处：《气候变化研究进展》2024年第4期428-439,共12页Climate Change Research

基　　金：上海市哲学社会科学规划项目“上海自贸区临港新片区国际离岸金融中心建设研究”(2020BGJ004)。

摘　　要：以农产类、粮食类、能源类、化工类4类期货产品为研究对象,在阐述气候风险影响期货市场产品价格基本理论的基础上,采用文本分析和GARCH类模型相结合的方法,同时考虑4种宏观经济因素,定量评估了气候风险对期货市场产品价格的影响。结果表明,气候风险指数与能源类和化工类期货产品的价格指数呈正相关,且气候风险对能源类和化工类期货市场均具有风险溢出效应。当期的气候风险指数对农产类、能源类和化工类期货产品价格指数的收益率具有显著正向影响,对粮食类期货产品价格指数的收益率具有显著负向影响。当期的气候风险指数对农产类期货产品价格指数的收益波动率具有显著正向影响,对粮食类、化工类和能源类期货产品价格指数的收益波动率具有显著负向影响。研究结果揭示了气候风险对期货市场的复杂影响,有助于为金融市场应对气候风险提供科学依据。Based on the basic theory of the impact of climate risk on product prices in futures market and the combination of text analysis and GARCH model,the impacts of climate risk on product prices in futures market were quantitatively evaluated by taking four kinds of macroeconomic factors into account.The results show that,the climate risk index has a positive correlation with the price index of energy and chemical futures,and climate risk has risk spillover effect on both energy futures and chemical futures markets.The current climate risk index has a significant positive impact on the yield of agricultural,energy and chemical futures price index,and a significant negative impact on the yield of grain futures price index.The current climate risk index has a significant positive impact on the yield volatility of agricultural futures price index,and a significant negative impact on the yield volatility of grain,chemical and energy futures price index.The research results reveal the complex impact of climate risks on futures markets and help provide scientific basis for financial markets to cope with climate risks.

关 键 词：气候风险 GARCH模型 溢出效应 期货产品价格指数 

分 类 号：F724.5[经济管理—产业经济] P467[天文地球—大气科学及气象学]