Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets
研究用分位数回归分析气候政策不确定性对不同市场状况下能源和金属期货的影响，发现天然气可作为对冲工具，库存水平是风险传导渠道，对生产者和监管者有参考价值。
ABSTRACT This study investigates the impact of climate policy uncertainty (CPU) on energy and metal commodity futures markets by employing quantile regression, which accounts for various (bearish, normal, and bullish) markets. Our results reveal that the impact of CPU shocks is heterogeneous and market condition‐specific. Particularly, CPU exerts a significantly negative effect on all commodities, except natural gas, in a bearish market. Under a normal market, the impact of CPU on energy returns varies across commodities whereas for a bullish market, the CPU effect is mixed. The results also reveal natural gas to be a good hedge instrument for climate policy risk. We further conducted channel analysis using the theory of storage and hedging pressure hypothesis. The key finding reveals inventory level as the transmission channel of climate policy risk. Our findings have implications for the inventory management strategies of producers and suggest that regulators should consider market‐based policies in their decarbonization efforts.