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Connectedness among Chinese climate policy uncertainty, exchange rate, Chinese and international crude oil markets: Insights from time and frequency domain analyses of high order moments

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  • Yan, Wan-Lin
  • Cheung, Adrian (Wai Kong)

Abstract

This paper investigates the connectedness among the Chinese climate policy uncertainty, CNYUSD exchange rate, the Chinese crude oil and the international crude oil futures markets in terms of average return, volatility and high order moments. Meanwhile, different timescales and frequencies are also studied using Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) approaches. The empirical results show that the connectedness among climate policy uncertainty, exchange rate and crude oil futures markets are time-varying and can be intensified by extreme events. The strength of connectedness depends on the moment order of spillovers. Covid-19 intensified the return, volatility and kurtosis connectedness. However, the impact of Covid-19 on higher order connectedness is relatively weak. In addition, the return spillovers are mainly caused by the short-term effect while higher order moment spillovers are driven by the long-term effect. Brent oil is the largest net shock transmitter and the Chinese crude oil futures mostly is the largest net shock receiver. Exchange rate is a net receiver except for kurtosis spillovers. The role of Chinese climate policy uncertainty is uncertain. In terms of the net pairwise connectedness, Chinese crude oil futures receives most shocks from Brent oil. In oil-exchange rate nexus, Chinese crude oil futures transmits shocks to the exchange rate in high order moment spillovers. The correlation between climate policy uncertainty and Chinese crude oil futures is time-varying. These findings offer useful implications for investors, policymakers and market supervisors.

Suggested Citation

  • Yan, Wan-Lin & Cheung, Adrian (Wai Kong), 2024. "Connectedness among Chinese climate policy uncertainty, exchange rate, Chinese and international crude oil markets: Insights from time and frequency domain analyses of high order moments," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001001
    DOI: 10.1016/j.najef.2024.102175
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    Keywords

    Risk spillovers; Oil market; Climate policy uncertainty; Exchange rate; Time-frequency domain;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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