This study initially develops a risk spillover network within the energy futures market, subsequently analyzing the impacts of climate attention on the risk spillovers associated with individual contracts in this network. We construct a high-dimensional network of 19 futures contracts CoVaR based on the LASSO-VAR method. Furthermore, we construct a climate attention index using the search volume of the climate-related Baidu Index during the same period and use a random forest (RF) model to study its impact on the energy futures market. We find that the energy futures market has a significant risk spillover effect, and climate attention has a significant non-linear effect on risk spillover. In light of increasing climate attention, our RF regression analyses reveal a notable shift in the risk spillover of energy futures. Based on these findings, we recommend tailored management strategies to address this evolving trend effectively.

中文翻译：

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气候关注对能源期货市场风险溢出效应的影响


本研究最初在能源期货市场内建立了一个风险溢出网络，随后分析了气候关注对与该网络中单个合约相关的风险溢出的影响。我们基于 LASSO-VAR 方法构建了一个由 19 个期货合约 CoVaR 组成的高维网络。此外，我们使用同期气候相关百度指数的搜索量构建气候关注指数，并使用随机森林 （RF） 模型研究其对能源期货市场的影响。我们发现，能源期货市场具有显著的风险溢出效应，气候关注度对风险溢出具有显著的非线性效应。鉴于对气候的日益关注，我们的 RF 回归分析揭示了能源期货的风险溢出的显著变化。基于这些发现，我们建议量身定制的管理策略来有效应对这一不断变化的趋势。