ABSTRACT

Recent evidence points to global warming and climate change as the biggest issues of the century; thus, the analysis of the weather-commodity futures prices relationship has crucial importance. This paper considers the relationship between weather anomalies, proxied by the Global Historical Surface Temperature Anomalies (HadCRUT4), and futures prices of agricultural products, energy commodities, industrial, and precious metals. Analyzing the monthly data between December 1982 and November 2020, the outcomes of the novel Granger causality test suggest unidirectional causality from the temperature anomalies to commodity futures prices. The findings imply that global temperature anomalies impact the expectations about the agricultural- and energy-related economic activities, including the use of commercial and organic fertilizers and fossil fuel combustion, respectively.

摘要

最近的证据表明，全球变暖和气候变化是本世纪最大的问题；因此，对天气-商品期货价格关系的分析至关重要。本文考虑了以全球历史地表温度异常 (HadCRUT4) 为代表的天气异常与农产品、能源商品、工业和贵金属的期货价格之间的关系。分析 1982 年 12 月至 2020 年 11 月之间的月度数据，新颖的格兰杰因果检验的结果表明，从温度异常到商品期货价格之间存在单向因果关系。调查结果表明，全球温度异常会影响对农业和能源相关经济活动的预期，