Analysis of spillover effects of climate risk on carbon,energy and stock market
QIN Guan
LI Ziyin
PENG Dejun
ZHOU Xiaoying
Abstract：This study explores the impact of climate risks(including physical and transition risks)on the carbon market,energy markets,and major developed economy stock markets before and after the Paris Agreement.By using daily data from June 2,2009,to June 28,2024,the study examines the dynamic transmission of risks between these markets using Diebold-Yilmaz spillover indices(DY model)and frequency connectivity models(BK model).The analysis reveals that,post-Paris Agreement,the transmission of physical and transition risks significantly increased.Specifically,the carbon market's role as a risk transmitter has strengthened,influencing both energy and stock markets.Rolling window analysis shows that extreme events,such as the COVID-19 pandemic and the 2014 oil price crash,amplified risk spillovers across markets.This study highlights the growing interconnectedness of global markets post-Paris Agreement,emphasizing the increasing relevance of carbon markets in managing climate-related risks.The findings provide valuable insights for policymakers seeking to enhance carbon market mechanisms and support energy transition strategies.
Keywords：climate riskDiebold-Yilmaz spillover indicesfrequency connectivity modelsrolling window analysisrisk spillover effectphysical risk and transition risk
Publication Date：2025-06-28
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：10( 41-50 )