This study analyses the role of weather conditions in driving the interdependence of the US commodities system comprising energy, agricultural, and metal markets from January 2000 to October 2021. By measuring the commodity markets systemic interdependence through dynamic equicorrelation (DECO), total returns spillover (TRS), upside and downside tail risk spillover (UTRS/DTRS), we investigate the co-vary dynamics between weather conditions and interdependence of commodity system in time-frequency domains. We discover that low temperature level plays a significant role in leading the commodities DECO at 32–64 months time scale. It is shown that high temperature level, global horizontal irradiance, and wind speed acts as an important part in driving TRS at around 64-month time scale. We also find that high temperature level and global warming conditions have a negative leading influence on UTRS at 32–64 months time scale whilst cloud coverage, precipitation and runoff have a positive leading impact on the UTRS at the same time scale. Moreover, temperature is found to lead the change of DTRS at around 64-month time scale persistently throughout the sample period. Through incorporating heterogeneous investment horizons, our findings provide practical implications for commodity investors in adapting to climate change.

本研究分析了 2000 年 1 月至 2021 年 10 月天气条件在推动美国商品系统（包括能源、农业和金属市场）相互依存关系中的作用。通过动态等相关 (DECO) 衡量商品市场的系统相互依存关系，总回报溢出 ( TRS)、上行和下行尾部风险溢出 (UTRS/DTRS)，我们研究了时频域中天气条件与商品系统相互依赖性之间的协变动态。我们发现低温水平在 32-64 个月的时间尺度上对引导商品 DECO 起着重要作用。结果表明，在大约 64 个月的时间尺度上，高温水平、全球水平辐照度和风速是驱动 TRS 的重要部分。我们还发现高温水平和全球变暖条件在 32-64 个月的时间尺度上对 UTRS 有负面的主导影响，而云覆盖、降水和径流在同一时间尺度上对 UTRS 有积极的主导影响。此外，发现温度在整个采样期间持续导致 DTRS 在大约 64 个月的时间尺度上发生变化。通过整合不同的投资视野，我们的研究结果为商品投资者适应气候变化提供了实际意义。