Work

Climate Risk Transmissions to Commodity Markets: Evidence From a Mixed-Frequency Spillover Approach

Year: 2025

Type: article

Abstract: The relationship between climate risks and commodity markets remains insufficiently explored, especially when analyzed through the lens of high-frequency data. This study seeks to address this gap by investigating the spillover effects of global climate risks, both physical and transitional, on key commodity markets and employs a novel analytical framework. By utilizing newly developed climate risk indices alongside the innovative mixed-frequency spillover measure, this research combines high-frequency climate risk data with the responses of low-frequency commodity prices. Our results highlight notable spillover effects, demonstrating that climate risks serve as the primary drivers of spillovers to commodity markets in a mixed-frequency data context, whereas such effects are not observed within a common-frequency data environment. These findings have important implications for policy-makers and investors, indicating that current market analyses may not capture the influence of climate risk adequately.

Source: Evaluation Review

DOI: 10.1177/0193841x251391891

Authors: Ye Chen, Yu Wei, Chunyan Zhou

Institutions: China West Normal University, Yunnan University of Finance And Economics, Honghe University

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Climate action

Open Access status: bronze

Funder: National Natural Science Foundation of China