Studies from Beihang University Yield New Information about Risk Management (Frequency Connectedness of Climate Risk and Commodity Markets: a Time-varying Quantile Framework): Risk Management

2025 OCT 14 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Research findings on Risk Management are discussed in a new report. According to news originating from Beijing, People’s Republic of China, by NewsRx correspondents, research stated, “This paper studies how climate risk affects commodity markets. By extending causal inference and multilayer networks into a quantile time-varying parameter vector autoregressive model (TVP-QVAR-BK), we examine the causal impact of climate physical risk and climate policy risk on major U.S. commodity markets.”

Our news journalists obtained a quote from the research from Beihang University, “We find that under extreme conditions, climate risk produces stronger spillover effects on commodity returns than under normal conditions. From a quantile perspective, climate risk has a greater impact on agricultural markets during extreme downside scenarios. Under normal and extreme upside conditions, gold, a safe-haven asset, shows stronger spillover effects from climate risk. From a frequency-domain perspective, most spillovers from climate risk occur in the short-term frequency range across all quantiles. Besides, Markov blanket analysis reveals bidirectional causality between climate physical risk and climate policy risks, with climate physical risk displaying stronger spillover effects in commodity markets. Robustness checks using generalized method of moments (GMM) confirm that climate physical risk acts as a source node in the system. Finally, we argue that financial regulators should incorporate climate risk into financial risk management frameworks. Climate policymakers should adopt more stable policies to help maintain the stability of financial markets.”

According to the news editors, the research concluded: “Investors should adopt differentiated risk management strategies under varying market conditions.”

This research has been peer-reviewed.

For more information on this research see: Frequency Connectedness of Climate Risk and Commodity Markets: a Time-varying Quantile Framework. Journal of Cleaner Production, 2025;524. Journal of Cleaner Production can be contacted at: Elsevier Sci Ltd, 125 London Wall, London, England. (Elsevier - www.elsevier.com; Journal of Cleaner Production - http://www.journals.elsevier.com/journal-of-cleaner-production/)

The news correspondents report that additional information may be obtained from Ziwei Wang, Beihang University, School of Economics and Management, Beijing, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.jclepro.2025.146175. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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