Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States

Chia‐Hsien Tang, Yen‐Hsien Lee, Hung‐Chun Liu and Guan‐Gzhe Zeng

Journal of Futures Markets, 2024, vol. 44, issue 7, 1277-1292

Abstract: This study offers a nuanced examination of the interplay between climate policy uncertainty (CPU) and three categories of the US commodity futures returns (metals, energy, and soft commodities). By integrating a regression framework with a Markov regime‐switching approach, our results uncover both linear and nonlinear effects of CPU in varying volatility contexts. This comprehensive methodological approach sheds light on CPU's diverse impacts across various types of commodity futures. The findings illustrate CPU's notable influence on metal and energy futures in low‐volatility regime, contrasted with its more pronounced effect on soft commodities during high‐volatility regime. These insights are pivotal for investors strategizing in light of CPU, and underscore the significance of renewable energy in alleviating climate policy uncertainties within commodity markets.

Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/fut.22510

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1277-1292

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().