Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors
使用分位数自回归分布滞后模型，分析了经济政策不确定性和地缘政治风险对碳期货价格波动的短期与长期影响，发现两者影响存在不对称性，且经济政策不确定性是主要驱动因素。
ABSTRACT This study uses a quantile autoregressive distributed lag model to quantitatively evaluate the effects of economic policy uncertainty (EPU) and geopolitical risk (GPR) on volatility in carbon futures (carbon trading price [CTP]), considering both quantile and time asymmetries. The findings show that long‐term effects of GPR on CTP are more significant than the short‐term effects, contrary to EPU. Both EPU and GPR have predominantly positive long‐term effects on CTP, while EPU negatively affects CTP and geopolitical factors show mixed influences in the short term. The location asymmetry reveals that the long‐term impacts are most pronounced at higher quantiles, whereas the short‐term effects exhibit subtle variations across different quantiles. The influences intensify during structural shifts owing to heightened events. Moreover, EPU is proven as a dominant contributor influencing the fluctuation of CTP both in the short and long terms. The findings provide targeted recommendations for policymakers to stabilize CTP and contribute towards achieving sustainable development.