Climate policy uncertainty and its impact on major grain futures

Abstract

It is well known that grain futures markets can be affected by climate change, but there is little literature to explore whether this impact owns asymmetry. Therefore, we study this asymmetry on the basis of climate policy uncertainty. We first find that climate may help to understand the changes in grain commodity prices, especially wheat futures. More importantly, climate shows an asymmetric ability to affecting wheat and corn futures. Besides, the effects of climate on different grain futures vary in the long and short runs, but all unidirectional asymmetric relations seem to be significantly lasting.