本文考察气候相关风险在商品衍生品市场中如何被定价。借助新加坡交易所交易的「棕色」与「绿色」铁矿石期权这一独特数据集，我们记录了显著的气候方差风险溢价与偏度风险溢价。进一步分析表明，气候政策不确定性与气候风险溢价之间存在非线性关系：中等程度的不确定性会通过动摇市场预期而抬高溢价，而极端不确定性则抑制市场活动并压低溢价。此外，气候政策不确定性会产生非对称效应：不确定性的持续水平及其变化，影响强于不确定性的即时波动。这些效应集中于短到期日期权，凸显出政策风险的过渡性质。本研究采用一种新颖的两阶段差分方法，提供了对气候风险溢价的直接而稳健的度量，深化了对商品衍生品市场气候风险定价的理解，并为寻求稳定市场、促进可持续投资的政策制定者提供了有价值的借鉴。
This paper examines how climate-related risks are priced in the commodity derivatives market. Leveraging a unique dataset of “brown” and “green” iron ore options traded on the Singapore Exchange, we document significant climate variance and skewness risk premiums. Further analysis reveals a nonlinear relationship between climate policy uncertainty and climate risk premiums: moderate uncertainty increases premiums by destabilizing market expectations, whereas extreme uncertainty suppresses market activity and reduces premiums. Additionally, climate policy uncertainty produces asymmetric effects: sustained levels and changes in uncertainty have a stronger impact than immediate fluctuations in uncertainty. These effects concentrate in short-maturity options, underscoring the transitional nature of policy risks. Utilizing a novel two-stage differencing method, this study provides a direct and robust measure of climate risk premiums, advancing our understanding of climate risk pricing in commodity derivatives markets and offering valuable insights for policymakers seeking to stabilize markets and promote sustainable investment.