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The impact of climate attention on risk spillover effect in energy futures markets

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  • Hu, Lei
  • Song, Min
  • Wen, Fenghua
  • Zhang, Yun
  • Zhao, Yunning

Abstract

This study initially develops a risk spillover network within the energy futures market, subsequently analyzing the impacts of climate attention on the risk spillovers associated with individual contracts in this network. We construct a high-dimensional network of 19 futures contracts CoVaR based on the LASSO-VAR method. Furthermore, we construct a climate attention index using the search volume of the climate-related Baidu Index during the same period and use a random forest (RF) model to study its impact on the energy futures market. We find that the energy futures market has a significant risk spillover effect, and climate attention has a significant non-linear effect on risk spillover. In light of increasing climate attention, our RF regression analyses reveal a notable shift in the risk spillover of energy futures. Based on these findings, we recommend tailored management strategies to address this evolving trend effectively.

Suggested Citation

  • Hu, Lei & Song, Min & Wen, Fenghua & Zhang, Yun & Zhao, Yunning, 2025. "The impact of climate attention on risk spillover effect in energy futures markets," Energy Economics, Elsevier, vol. 141(C).
    • Handle: RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007539
    DOI: 10.1016/j.eneco.2024.108044
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    Keywords

    Risk spillover; Energy futures markets; Climate attention; Random forest;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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