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Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective

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  • Wang, Kai-Hua
  • Kan, Jia-Min
  • Qiu, Lianhong
  • Xu, Shulin

Abstract

Climate policy uncertainty needs to be considered urgently in view of the fact that climate policy is affecting energy and agricultural markets. This paper uses quantile connectedness to examine the dynamic spillover among climate policy uncertainty (CPU), crude oil prices (COP) and agricultural product prices (APP), further revealing the impact of climate policy on markets in both normal and extreme markets. The results show that there is a higher connectedness level at extreme quantile. Uncertain climate policy activities and major events affect system connectedness. Further analysis shows that, compared with the isolated role in the normal market (median quantile), CPUs in the extreme market (lower and upper quantile) become continuous shock receivers in the system. The risk spillover mainly focused on soybeans and corn, and COP increased the risk of spillover especially after the epidemic. By revealing the transmission mechanism of the price correlation between oil and agricultural products under the CPU framework, this can fully explain the linkage between them. In general, the stability of the oil market and agricultural product market is crucial to the formulation of climate policy. These conclusions provide significant enlightenment for policy-makers and investors coping with the high level of CPU.

Suggested Citation

  • Wang, Kai-Hua & Kan, Jia-Min & Qiu, Lianhong & Xu, Shulin, 2023. "Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 256-272.
    • Handle: RePEc:eee:ecanpo:v:78:y:2023:i:c:p:256-272
    DOI: 10.1016/j.eap.2023.03.013
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