Pass-through from temperature intervals to China's commodity futures’ interval-valued returns: Evidence from the varying-coefficient ITS model

Dan Wu, Xingyu Dai, Ruikun Zhao, Yaru Cao and Qunwei Wang

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: This paper proposes a novel varying-coefficient interval-valued time series (VC-ITS) model to reveal the impact of temperature intervals on China's commodity futures’ interval-valued returns. 14 Chinese commodities futures from 2018 to 2023 were analyzed and results show that temperature intervals have a dynamic impact on crude oil futures interval-valued returns and a static impact on steaming coal futures in the selected energy futures. There is a negative pass-through effect of temperature intervals on almost all selected agricultural futures return intervals. Changes in temperature intervals have almost no pass-through effect on changes in metal futures' interval-valued returns, except for nickel futures.

Keywords: Temperature; Commodity futures; Spillover effect; Interval-valued time series; Varying-coefficient model (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300661x

DOI: 10.1016/j.frl.2023.104289

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