Climate Risk and Financial Risk: Evidence from La Niña and Agricultural Commodity Networks
気候リスクと金融リスク：ラニーニャと農業コモディティネットワークからの証拠 (AI 翻訳)
Alejandro Pérez-y-Soto-Domínguez, J. Candelo-Viáfara, C. Zuluaga-Domínguez
🤖 gxceed AI 要約
日本語
本研究は、ラニーニャ現象が農業コモディティ市場の金融リスクに与える影響を、2000年から2025年までの7つの農業先物の日次リターンとDiebold-Yilmaz連結性フレームワークを用いて分析。ラニーニャ時の連結性上昇は主に世界的なリスク回避（VIX）によるもので、ラテンアメリカのマクロ金融要因の寄与は小さい。気候要因の直接効果は統計的に有意でなくなるが、95%CVaRを約17%増加させ、分散化比率を12.9%低下させるなど経済的には重要。
English
This study examines how La Niña affects financial risk in agricultural commodity markets using daily returns on seven futures (2000-2025) and a Diebold-Yilmaz connectedness framework. The increase in connectedness during La Niña is driven mainly by global risk aversion (VIX), not regional macro-financial conditions. The residual climate effect is small and insignificant, but economically relevant: La Niña raises 95% CVaR by ~17% and reduces diversification ratio by 12.9%.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本では、気候変動が金融市場に与える影響は投資家や金融機関のリスク管理に重要。本研究成果は、気候ストレスが市場全体の不確実性を通じて伝播することを示し、日本の金融機関や企業のリスク管理や開示実務に示唆を与える。
In the global GX context
Globally, this paper contributes to the growing literature on climate risk and financial stability, particularly for commodity markets. It highlights the role of global uncertainty in transmitting climate shocks, which is relevant for climate stress testing and portfolio management under frameworks like TCFD and ISSB.
👥 読者別の含意
🔬研究者:Provides empirical evidence on transmission channels of physical climate risk to financial markets, useful for further research on climate stress testing.
🏢実務担当者:Offers insights for portfolio diversification and risk management in agricultural commodity investments under climate stress.
🏛政策担当者:Suggests that climate risk in commodity markets is transmitted via global uncertainty, informing macroprudential and climate policy design.
📄 Abstract（原文）
This study aims to examine whether and through which transmission channels physical climate risk becomes financially relevant in agricultural commodity markets. Using daily returns on seven agricultural futures over 2000–2025 and a Diebold–Yilmaz connectedness framework, this paper shows that the increase in agricultural connectedness during La Niña episodes is explained mainly by global risk aversion rather than by regional macro-financial conditions. A sequential decomposition indicates that the VIX accounts for most of the unconditional La Niña effect, while Latin American financial variables explain only a negligible share. After controlling for these factors, the residual climate effect becomes small and statistically insignificant under wild cluster bootstrap inference. Quantile results further show that La Niña raises the floor of connectedness in low-stress states but adds little in already-stressed regimes. The effect is economically relevant: relative to neutral conditions, La Niña increases the absolute one-day 95% CVaR by approximately 17%—from 2.39% to 2.80%—and reduces the diversification ratio by 12.9%, from 1.889 to 1.645. Overall, the results suggest that climate stress in agricultural markets is transmitted primarily through global uncertainty pricing, with direct implications for portfolio management and climate stress testing.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.3390/agriculture16151622first seen 2026-08-01 06:36:59 · last seen 2026-08-02 06:29:17
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