Impact of Climate Policy Uncertainty on Energy Price Volatility: Evidence from China

Climate change has become one of the most serious challenges facing mankind in the 21st century. Due to the diversity and complexity of climate policies and their dynamic adjustment during implementation, the uncertainty of climate policies has become one of the important factors affecting the market. As the world’s largest consumer of commodities, China’s climate policy adjustment has an impact on the decision-making process of commodity market participants, which changes the demand structure of commodities and thus affects their yields. In this paper, TVP-SV-VAR and DLNM are used to investigate the nonlinear lagging effects of climate policy uncertainty, energy and agricultural commodity prices in China.