气候政策不确定性与传统国际能源价格的影响关系研究—

气候政策不确定性与传统国际能源价格的影响关系研究——基于TVP-VAR模型和小波相干性分析

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中文摘要：基于2010年1月到2022年12月3种国际代表性传统能源煤炭、原油和天然气期货价格,以及反映气候转型风险的气候政策不确定性指数月度数据,运用TVP-VAR模型和小波相干性分析法研究了气候政策不确定性与3种传统国际能源产品价格之间的影响关系.结果表明:①3种代表性能源品价格与气候政策不确定性指数之间存在着相互影响的时变关系,并呈现出显著的正、负交替的差异性特征,且原油和天然气分别与另两种能源品在不同滞后期和不同时点上的表现存在差异;②能源品价格与气候政策不确定性指数之间相互的冲击效果均在短期和中期效果不明显,在长期效果最为明显,并且在重要气候事件节点上,冲击效果更加明显;③能源品价格与气候政策不确定性指数在不同时域上,中期和后期较为明显;在不同频域内,低频和中频区相干性较为明显,总体表现为能源品价格引导气候政策不确定性指数变化.

外文标题：Research on the relationship between climate policy uncertainty and traditional international energy prices——Based on TVP-VAR model and wavelet coherence analysis

外文摘要：Based on the monthly data of three international representative traditional energy futures prices of coal,crude oil and nat-ural gas from January 2010 to December 2022,and the monthly data of the Climate Policy Uncertainty Index(CPU)reflecting the risk of climate transition,this paper used TVP-VAR model and wavelet coherence analysis method to research the relationship between cli-mate policy uncertainty and the price interaction of three traditional international energy products.The results showed that:①There was a time-varying relationship between the three representative energy products and the risk of climate transition,and there was a signifi-cant difference between positive and negative alternation,and crude oil and natural gas showed differences with the other two energy products at different lag periods and different time points.②The mutual impact effect between energy prices and climate policy changes was not obvious in the short and medium term,but the most obvious in the long term,and the impact effect was more obvious at the node of important climate events.③The results of wavelet coherence analysis showed that the energy prices and climate policy changes were more obvious in the middle and late stages in different time domains.In different frequency domains,the coherence of low frequency and medium frequency regions was more obvious,and the overall performance was that the price of energy products guided the CPU.

外文关键词：

climate policy uncertaintyclimate transition risksinternational traditional energytime-varying relationswavelet co-herence analysis

作者：

边璐、张晨涛、张江朋

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作者单位：

内蒙古科技大学经济与管理学院,内蒙古包头 014010

中国财政科学研究院,北京 100142

关键词：

气候政策不确定性气候转型风险国际传统能源时变关系小波相干分析

基金：

国家自然科学基金项目2024年内蒙古自治区直属高校基本科研业务费项目内蒙古自治区高等学校青年科技英才支持计划

项目编号：

718640282024YXXS096NJYT22059

出版年：

2024

DOI：

10.3969/j.issn.1005-8141.2024.11.007

资源开发与市场

四川省自然资源科学研究院

资源开发与市场

CSTPCDCHSSCD

影响因子：0.581

ISSN：1005-8141

年,卷(期)：2024.40(11)