Spillover effects between climate policy uncertainty, energy markets, and food markets: A time-frequency analysis
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866929750702817280 |
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| author | Zhang, Ting Li, Peng-Fei Zhou, Wei-Xing |
| author_facet | Zhang, Ting Li, Peng-Fei Zhou, Wei-Xing |
| contents | The study examines the return connectedness between climate policy uncertainty (CPU), clean energy, fossil energy, and food markets. Using the time-domain method of Diebold and Yilmaz (2012) and frequency-domain methods of Barun{í}k and K{ř}hl{í}k (2018), we find substantial spillover effects between these markets. Furthermore, high frequency domain is the primary driver of overall connectedness. In addition, CPU is a net contributor of return shocks in the short term, whereas it turns to be a net recipient in the medium and long terms. Across all frequencies, clean energy and oils are consistent net recipients, while meat is a dominant net contributor. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_06599 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Spillover effects between climate policy uncertainty, energy markets, and food markets: A time-frequency analysis Zhang, Ting Li, Peng-Fei Zhou, Wei-Xing General Economics Economics The study examines the return connectedness between climate policy uncertainty (CPU), clean energy, fossil energy, and food markets. Using the time-domain method of Diebold and Yilmaz (2012) and frequency-domain methods of Barun{í}k and K{ř}hl{í}k (2018), we find substantial spillover effects between these markets. Furthermore, high frequency domain is the primary driver of overall connectedness. In addition, CPU is a net contributor of return shocks in the short term, whereas it turns to be a net recipient in the medium and long terms. Across all frequencies, clean energy and oils are consistent net recipients, while meat is a dominant net contributor. |
| title | Spillover effects between climate policy uncertainty, energy markets, and food markets: A time-frequency analysis |
| topic | General Economics Economics |
| url | https://arxiv.org/abs/2503.06599 |