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Climate risk attention and financial markets: The time–frequency and quantile perspective

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Listed:
  • Mao, Xiaodan
  • Hu, Cong
  • Xiong, Lin
  • Wang, Yebin

Abstract

This study introduces the TVP-VAR-BK model to investigating the role of climate risk attention in driving time-frequency spillovers across diverse financial markets. Empirical results demonstrate a short-term positive spillover effect of climate risk attention on financial markets. The bond and renewable energy stock markets are the most sensitive to fluctuations in climate risk attention. The spillover effect gradually rise over time. Climate risk attention not only affects the volatility of a single financial market but enhances the interconnectedness among financial markets, inducing risk co-movement, which is more pronounced under medium- and high-risk market conditions.

Suggested Citation

  • Mao, Xiaodan & Hu, Cong & Xiong, Lin & Wang, Yebin, 2025. "Climate risk attention and financial markets: The time–frequency and quantile perspective," Finance Research Letters, Elsevier, vol. 85(PD).
    • Handle: RePEc:eee:finlet:v:85:y:2025:i:pd:s1544612325013856
    DOI: 10.1016/j.frl.2025.108130
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    Keywords

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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