Research on the relationship between climate policy uncertainty and traditional international energy prices——Based on TVP-VAR model and wavelet coherence analysis
Research on the relationship between climate policy uncertainty and traditional international energy prices——Based on TVP-VAR model and wavelet coherence analysis
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.
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
Key words
climate policy uncertainty/climate transition risks/international traditional energy/time-varying relations/wavelet co-herence analysis
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