Time-Varying Impacts of Climate Policy Uncertainty on Oilseed Futures Returns: From Energy Transition and Biofuel Perspectives

Oilseed crops serve as pivotal raw materials for renewable energy production, rendering oilseed futures increasingly vulnerable to the dual shocks stemming from climate risk and the global energy transition. Against this backdrop, investigating the dynamic impact of climate policy uncertainty (CPU) on oilseed futures markets holds substantial practical and theoretical significance for commodity market risk management and pricing. Based on the theoretical logic of dual supply–demand and cost channels, this paper employs a time-varying parameter vector autoregressive (TVP-VAR) model to examine how fluctuations in CPU exert time-varying impacts on oilseed futures returns by shaping the supply–demand dynamics and production costs of the oilseed market. The empirical results reveal that CPU changes generally exert a positive effect on oilseed futures returns, while significant negative impacts are detected in specific sample periods, exhibiting a time-varying alternating pattern, with the short-term impact being the most dominant and pronounced. In addition, impulse response analysis at three typical time points shows that CPU shocks positively affect oilseed futures returns mainly in periods 1–2, while negative effects peak in period 3 and then decay with alternating fluctuations. The heterogeneity across time points verifies the dual-channel mechanism of shifting dominance between supply–demand and cost channels.