Interactive effects of economic, geopolitical, and climate risks on commodity volatility
采用分位数矩方法，研究经济政策不确定性、地缘政治风险和气候风险对大宗商品收益波动的交互效应，发现忽略交互效应会低估波动达35%，且转型气候风险加剧波动而物理气候风险缓解波动。
This study employs a quantile moments approach to examine how economic policy uncertainty (EPU), geopolitical risk (GPR), and climate risks affect commodity return volatility. By incorporating interaction effects, we show that models ignoring these interactions underestimate volatility by up to 35% during stress periods. The analysis reveals varied effects across different volatility regimes, with transition climate risk intensifying market volatility particularly during turbulent times, whereas physical climate risk exhibits a mitigating effect. These findings offer valuable implications for risk management and policy coordination in commodity markets, highlighting the importance of considering interaction effects both normal and volatile market conditions.