Research on the impact of climate risk on product prices in futures market
Based on the basic theory of the impact of climate risk on product prices in futures market and the combination of text analysis and GARCH model,the impacts of climate risk on product prices in futures market were quantitatively evaluated by taking four kinds of macroeconomic factors into account.The results show that,the climate risk index has a positive correlation with the price index of energy and chemical futures,and climate risk has risk spillover effect on both energy futures and chemical futures markets.The current climate risk index has a significant positive impact on the yield of agricultural,energy and chemical futures price index,and a significant negative impact on the yield of grain futures price index.The current climate risk index has a significant positive impact on the yield volatility of agricultural futures price index,and a significant negative impact on the yield volatility of grain,chemical and energy futures price index.The research results reveal the complex impact of climate risks on futures markets and help provide scientific basis for financial markets to cope with climate risks.
Climate riskGARCH modelSpillover effectFutures product price index
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