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：

---

二氧化碳排放配额与商品市场之间的极端联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与商品期货市场之间的极端联动。随后，它还使用线性格兰杰因果检验检验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，两个期货市场上行趋势和下行趋势的尾部风险指数大部分时间都在变化，并且在极端事件期间表现出剧烈变化。更重要的是，在COVID-19大流行爆发（2019年9月至2020年2月）和俄罗斯-乌克兰冲突（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值保持在相对较高的水平。值得注意的是，在检查 GSCI_down 和 EUA_down 之间以及 GSCI_down 和 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，随着高盛商品指数期货市场在下行趋势中经历大幅波动，它们迅速下跌。这种模式表明 GSCI 期货市场对 EUA 期货市场存在尾部风险溢出效应。使用线性格兰杰因果关系检验的进一步分析表明，在大多数情况下，经济政策的不确定性是欧盟碳市场与商品期货市场之间极端联动的重要驱动因素，此外，欧盟碳期货市场和商品期货市场上行趋势。 这项研究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其极端联动的影响提供宝贵的指导和启示。