This study employs the generalized extreme value - autoregressive conditional Fréchet - tail quotient correlation coefficient (GEV-AcF-TQCC) analytical framework to investigate the extreme co-movements between the EU carbon futures market and the commodity futures market. Subsequently, it also examines the response of the dynamic tail quotient correlation coefficient (TQCC) values to economic policy uncertainty stemming from the US using the linear Granger causality test. The empirical results demonstrate that the tail risk indices for both upside and downside trends of the two futures markets experience changes most of the time and show drastic changes during extreme events. More importantly, before the outbreaks of the COVID-19 pandemic (from September 2019 to February 2020) and the Russia-Ukraine conflict (from May 2021 to February 2022), the dynamic TQCC values for the downside trends of the two futures markets remain at relatively high levels. Of note, when examining the dynamic TQCC values between GSCI_down and EUA_down, as well as between GSCI_down and EUA_up, it can be observed that these TQCC values rise to higher levels during periods of extreme volatility. However, they quickly decline as the GSCI futures market experiences significant fluctuations during its downside trend. This pattern indicates a tail risk spillover effect from the GSCI futures market to the EUA futures market. Further analysis using the linear Granger causality test reveals that economic policy uncertainty is a significant driver of the extreme co-movements between the EU carbon and the commodity futures markets in most cases, in addition to the extreme co-movements between the downside trend of the EU carbon futures market and the upside trend of the commodity futures market. The insights gained from this study can provide valuable guidance and enlightenment for policymakers, financial investors, and academic researchers in understanding the dynamics of the extreme relationship between the two markets under discussion, and the impacts of economic policy uncertainty on their extreme co-movements.

中文翻译：

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二氧化碳排放配额和大宗商品市场之间的极端协同波动及其对经济政策不确定性的反应


本研究采用广义极值-自回归条件Fréchet-尾商相关系数（GEV-AcF-TQCC）分析框架来研究欧盟碳期货市场和商品期货市场之间的极端协同运动。随后，它还使用线性格兰杰因果关系检验检查了动态尾商相关系数 （TQCC） 值对美国经济政策不确定性的响应。实证结果表明，两个期货市场的上行和下行趋势的尾部风险指数在大多数时候都会发生变化，并在极端事件期间表现出剧烈的变化。更重要的是，在 COVID-19 大流行爆发（2019 年 9 月至 2020 年 2 月）和俄乌冲突（2021 年 5 月至 2022 年 2 月）之前，两个期货市场下行趋势的动态 TQCC 值仍处于相对较高的水平。值得注意的是，在检查 GSCI_down 到 EUA_down 之间以及 GSCI_down 到 EUA_up 之间的动态 TQCC 值时，可以观察到这些 TQCC 值在极端波动期间上升到更高的水平。然而，由于 GSCI 期货市场在下行趋势中经历重动，它们会迅速下跌。这种模式表明从 GSCI 期货市场到 EUA 期货市场的尾部风险溢出效应。使用线性格兰杰因果关系检验的进一步分析表明，除了欧盟碳期货市场的下行趋势与商品期货市场的上行趋势之间的极端协同运动外，经济政策不确定性在大多数情况下是欧盟碳和商品期货市场之间极端协同运动的重要驱动因素。 从这项研究中获得的见解可以为政策制定者、金融投资者和学术研究人员提供宝贵的指导和启示，以理解所讨论的两个市场之间极端关系的动态，以及经济政策不确定性对它们极端协同运动的影响。