Global agricultural vulnerability to climate physical risks

Climate change intensifies extreme weather events and natural disasters, posing escalating threats to global food security. This study quantifies the vulnerability of five key agricultural commodities—wheat, maize, soybean, rice, and barley—to climate physical risks during 2000–2025, specifically examining their interconnected market responses. Utilizing the TVP-VAR extended joint connectedness approach, we find wheat acts as the leading transmitter of risk spillovers, while barley is the primary recipient. Rice exhibits relative isolation within the risk connectedness network. Applying cross-quantilogram analysis further reveals that climate physical risks exacerbate uncertainty across the agricultural sector, a pattern observed consistently whether at multiple time scales or different cross-quantiles. Crucially, excluding rice, physical risks significantly enhance the risk transmission capacity of the other four crops, highlighting their heightened vulnerability to climate shocks. These findings underscore the critical need for policymakers and market participants to prioritize resilience-building strategies for these highly interconnected and vulnerable commodities within global food systems.