Research on Spillover Effects of Climate Policy Uncertainty on Energy and Agricultural Product Markets from a Time-Frequency Perspective

Amid the ongoing transformation of global climate governance, climate policy uncertainty has emerged as an increasingly important factor influencing both energy and agricultural commodity markets, with direct implications for energy and food security. Using monthly data from 2008 to 2025, this study applies the TVP-VAR-DY and TVP-VAR-BK frameworks, together with complex network analysis, to investigate spillover dynamics among climate policy uncertainty, energy, and agricultural markets from both time-varying and frequency-based perspectives. The results show that spillover effects evolve substantially over time and become more pronounced during periods of major external shocks, particularly under the influence of short-run factors. Notably, the transmission effect of climate policy uncertainty is stronger for bioenergy-related agricultural commodities, especially soybeans and corn. While the agricultural market exhibits strong internal connectedness, cross-market risk transmission is heterogeneous across commodities, with corn remaining a relatively stable net transmitter of risk. By contrast, crude oil generally acts as a net receiver, whereas climate policy uncertainty behaves as a net receiver in the short run but gradually shifts into a net transmitter over the medium and long term, suggesting a lagged transmission pattern. Robustness checks based on alternative lag lengths, forecast horizons, and CPU proxies confirm that the main connectedness structure is stable and not driven by specific parameter choices. These findings provide useful evidence for policymakers seeking to improve the stability and transparency of climate policy and mitigate cross-market risk, while also offering practical guidance for investors in portfolio allocation and hedging against policy-induced volatility.