The Chaos of Climate Ambitions: Climate Policy Uncertainty and the Volatility Risk in Commodity Markets
研究使用新闻构建的气候政策不确定性指数，发现其显著放大商品期货波动，尤其在大气候政策事件后，并通过库存短缺、投机和投资者注意力转移等机制传导，对农业和金属影响更大。
ABSTRACT Using a novel news‐based climate policy uncertainty (GCPU) index, we empirically investigate its impact on commodity market volatility risk. Our findings reveal the implicit cost of policy chaos, showing that GCPU significantly amplifies commodity futures volatility, especially following major climate policy events. Channel analyses indicate that GCPU affects volatility through mechanisms such as inventory scarcity, speculative activity, and shifts in investor attention. Furthermore, employing the network connectedness framework, we trace the dynamic risk spillovers of GCPU. We find that while systemic spillovers moderate over time, pronounced heterogeneity remains across sectors and contracts: agriculture and metals display persistently higher exposure, whereas the muted aggregate effect for energy is due to offsetting dynamics at the futures level. Taken together, these results reconcile regression evidence with spillover analysis and offer important implications for risk management.