IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v58y2023ipbs154461232300764x.html
   My bibliography  Save this article

Climate, geopolitical, and energy market risk interconnectedness: Evidence from a new climate risk index

Author

Listed:
  • Gu, Qinen
  • Li, Shaofang
  • Tian, Sihua
  • Wang, Yuyouting

Abstract

Using meteorological monitoring data from eight climate disasters across the globe along with financial data from the WTI and BNG energy markets, this study employs the fixed-base extreme difference entropy method to construct a climate risk index (CRI) and investigates the relationship between climate risk, geopolitical risk (GPR), and energy market risk based on the mixed-frequency VAR (MF-VAR) method. The empirical results show that an increase in both GPR and CRI is related to an increase in energy market risk, and that a higher CRI is associated with greater GPR. Moreover, the positive relationship between CRI scores and energy market risk after the Paris Agreement has grown stronger.

Suggested Citation

  • Gu, Qinen & Li, Shaofang & Tian, Sihua & Wang, Yuyouting, 2023. "Climate, geopolitical, and energy market risk interconnectedness: Evidence from a new climate risk index," Finance Research Letters, Elsevier, vol. 58(PB).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300764x
    DOI: 10.1016/j.frl.2023.104392
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S154461232300764X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2023.104392?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Climate risk; Geopolitical risk; Energy markets risk; MF-VAR;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300764x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.