RELATIONSHIP BETWEEN CLIMATE POLICY UNCERTAINTY AND AGRICULTURE AND FOOD MARKET INDICES: TVP VAR APPROACH

Climate change significantly affects the availability, accessibility, quality and stability of food in the world. Climate change has the power to affect relevant companies, investors and policy-makers by putting pressure on agricultural production and practices. In this regard, the main purpose of this paper examines the dynamic connectivity nexus between the Climate Policy Uncertainty Index (CPU), FTSE 350 Food Producers Index (FTSE 350), S&P Commodity Producers Agriculture Net Return Index (S&P Commodity), FAO Food Price Index (FAO) and DAX Global Agricultural Index (DAX). In the paper time-varying parameter vector autoregressive (TVP-VAR) model was used in period of July 2007 to July 2022. It was observed that the FTSE 350 index spreads strong volatility to the CPU, S&P Commodity index and DAX index. In addition, it has been determined that S&P Commodity and DAX index emit weak volatility due to climate policy uncertainty.