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

Samet Gürsoy; Mesut Doğan; Feyyaz Zeren; İbrahim Ekşi

doi:10.52122/nisantasisbd.1626552

Araştırma Makalesi

İklim Politikası Belirsizliği ile Tarım ve Gıda Piyasası Endeksleri Arasındaki İlişki: TVP VAR Yaklaşımı

Yıl 2025, Cilt: 13 Sayı: 1, 46 - 64, 30.06.2025

Samet Gürsoy , Mesut Doğan , Feyyaz Zeren , İbrahim Ekşi

https://doi.org/10.52122/nisantasisbd.1626552

Öz

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.

Anahtar Kelimeler

Climate Policy Uncertainty, FTSE 350, S&P Commodities, FAO, DAX

Kaynakça

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