Pass-through from temperature intervals to China's commodity futures’ interval-valued returns: Evidence from the varying-coefficient ITS model

Abstract

This paper proposes a novel varying-coefficient interval-valued time series (VC-ITS) model to reveal the impact of temperature intervals on China's commodity futures’ interval-valued returns. 14 Chinese commodities futures from 2018 to 2023 were analyzed and results show that temperature intervals have a dynamic impact on crude oil futures interval-valued returns and a static impact on steaming coal futures in the selected energy futures. There is a negative pass-through effect of temperature intervals on almost all selected agricultural futures return intervals. Changes in temperature intervals have almost no pass-through effect on changes in metal futures' interval-valued returns, except for nickel futures.