TY - JOUR
T1 - The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets
AU - Zhou, Yuqin
AU - Wu, Shan
AU - Liu, Zhenhua
AU - Rognone, Lavinia
N1 - Funding Information:
This work is based upon work supported by the Chongqing Municipal Social Science Planning Project under Grant No. 2023NDQN22 (to Y.Z.), the Humanities and Social Science Project of Chongqing Municipal Education Commission under Grant No.23SKGH097 (to Y.Z.), the Fund Project of Chongqing Normal University under Grant No. 19XWB017 (to Y.Z.), the National Social Science Foundation of China under Grant No. 22FGLB075 (to S.W.), the University Philosophy and Social Science Research Project of Jiangsu Province under Grant No. 2021SJA0284 (to S.W.), the University Nature Science Research Project of Jiangsu Province under Grant No. 22KJB630007 (to S.W.), the Development Research Center for Sichuan Petroleum and Natural Gas under Grant No. SKB21-03 (to S.W.), the National Natural Science Foundation of China under Grant No.72204250 (to Z.L.), the Humanities and Social Science Foundation of the Ministry of Education in China under Grant No.21YJCZH093 (to Z.L.), the Social Science Foundation of Jiangsu Province under Grant No. 22GLC022 (to Z.L.), and the Fundamental Research Funds for the Central Universities under Grant No. 2023SK05 (to Z.L.).
Publisher Copyright:
© 2023, The Author(s).
PY - 2023/11/7
Y1 - 2023/11/7
N2 - Climate change affects price fluctuations in the carbon, energy and metals markets through physical and transition risks. Climate physical risk is mainly caused by extreme weather, natural disasters and other events caused by climate change, whereas climate transition risk mainly results from the gradual switchover to a low-carbon economy. Given that the connectedness between financial markets may be affected by various factors such as extreme events and economic transformation, understanding the different roles of climate physical risk and transition risk on the higher-moment connectedness across markets has important implications for investors to construct portfolios and regulators to establish regulation system. Here, using the GJRSK model, time-frequency connectedness framework and quantile-on-quantile method, we show asymmetric effects of climate risk on connectedness among carbon, energy and metals markets, with higher impacts of climate physical risk on upward risk spillovers, and greater effects of climate transition risk on the downside risk of kurtosis connectedness.
AB - Climate change affects price fluctuations in the carbon, energy and metals markets through physical and transition risks. Climate physical risk is mainly caused by extreme weather, natural disasters and other events caused by climate change, whereas climate transition risk mainly results from the gradual switchover to a low-carbon economy. Given that the connectedness between financial markets may be affected by various factors such as extreme events and economic transformation, understanding the different roles of climate physical risk and transition risk on the higher-moment connectedness across markets has important implications for investors to construct portfolios and regulators to establish regulation system. Here, using the GJRSK model, time-frequency connectedness framework and quantile-on-quantile method, we show asymmetric effects of climate risk on connectedness among carbon, energy and metals markets, with higher impacts of climate physical risk on upward risk spillovers, and greater effects of climate transition risk on the downside risk of kurtosis connectedness.
U2 - 10.1038/s41467-023-42925-9
DO - 10.1038/s41467-023-42925-9
M3 - Article
C2 - 37935657
SN - 2041-1723
VL - 14
SP - 1
EP - 16
JO - Nature Communications
JF - Nature Communications
IS - 1
M1 - 7157
ER -