Stock–Commodity Correlations, Optimal Hedging, and Climate Risks
研究了四种气候风险（美国气候政策、国际峰会、全球变暖、自然灾害）如何影响商品期货与股票的相关性及最优对冲效果，发现转型风险推高相关性，物理风险降低相关性，且高气候风险时期对冲成本更高、有效性更低。
ABSTRACT Despite the growing importance of integrating climate risks into financial decision‐making, there has been limited research on how these risks affect stock–commodity correlations and the optimal hedging performance of commodities. Using four novel climate risk measures related to the US climate policy, international summits, global warming, and natural disasters, we explore the impact of climate risks on conditional correlations between commodity futures and equities. Our results reveal that higher transition risks (US climate policy and international summits) are associated with increased correlations, while higher physical risks (natural disasters and global warming) drive correlations lower in most cases. We also find that the interaction of climate risks with macro factors can exert significant influences on the time‐varying correlations. During periods of extremely high climate risk, we generally observe higher hedging costs, reduced portfolio allocations to commodities, and lower hedging effectiveness compared to periods of extremely low climate risk.