Zhou Yuqin, Wu Shan, Liu Zhenhua, Rognone Lavinia
School of Economics and Management, Chongqing Normal University, Chongqing, China.
School of Finance, Nanjing University of Finance and Economics, Nanjing, China.
Nat Commun. 2023 Nov 7;14(1):7157. doi: 10.1038/s41467-023-42925-9.
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.
气候变化通过物理风险和转型风险影响碳市场、能源市场和金属市场的价格波动。气候物理风险主要由气候变化导致的极端天气、自然灾害等事件引起，而气候转型风险主要源于向低碳经济的逐步转变。鉴于金融市场之间的关联性可能受到极端事件和经济转型等各种因素的影响，了解气候物理风险和转型风险在跨市场高阶关联性中的不同作用，对于投资者构建投资组合和监管机构建立监管体系具有重要意义。在此，我们使用GJRSK模型、时频关联性框架和分位数对分位数方法，展示了气候风险对碳市场、能源市场和金属市场之间关联性的非对称影响，其中气候物理风险对向上风险溢出的影响更大，而气候转型风险对峰度关联性的下行风险影响更大。
