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Climate Risk Transmissions to Commodity Markets: Evidence From a Mixed-Frequency Spillover Approach

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  • Ye Chen
  • Yu Wei
  • Chunyan Zhou

Abstract

The relationship between climate risks and commodity markets remains insufficiently explored, especially when analyzed through the lens of high-frequency data. This study seeks to address this gap by investigating the spillover effects of global climate risks, both physical and transitional, on key commodity markets and employs a novel analytical framework. By utilizing newly developed climate risk indices alongside the innovative mixed-frequency spillover measure, this research combines high-frequency climate risk data with the responses of low-frequency commodity prices. Our results highlight notable spillover effects, demonstrating that climate risks serve as the primary drivers of spillovers to commodity markets in a mixed-frequency data context, whereas such effects are not observed within a common-frequency data environment. These findings have important implications for policy-makers and investors, indicating that current market analyses may not capture the influence of climate risk adequately.

Suggested Citation

  • Ye Chen & Yu Wei & Chunyan Zhou, 2026. "Climate Risk Transmissions to Commodity Markets: Evidence From a Mixed-Frequency Spillover Approach," Evaluation Review, , vol. 50(3), pages 346-383, June.
    • Handle: RePEc:sae:evarev:v:50:y:2026:i:3:p:346-383
    DOI: 10.1177/0193841X251391891
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