In the context of escalating climate change, it is imperative to understand its multifaceted impacts on financial markets, as climate risks not only affect the low-order moments (mean and variance) but also the high-order moments (skew and kurtosis) of the energy market and the bond market. This study employs a quantile vector autoregressive framework, a combination of time-domain and frequency-domain analyses, and quantile-to-quantile regression to assess the dynamic spillover effects under varying market conditions. The results reveal that spillover effects are particularly pronounced during extreme events, both high positive shocks (above the 80th percentile) or high negative changes (below the 20th percentile). Furthermore, during periods of high climate risks, the dynamic interaction between the energy market and green bonds intensifies, strengthening their roles in the context of spillover effects and altering their respective positions. Our findings also exhibit that the coal markets and green bonds act as net recipients of spillovers, highlighting their potential as effective hedging instruments. Finally, climate risks contribute to an increasing spillover of risk in the new energy sector, with the long-term trend showing the most significant growth in spillover intensity.
Xu et al. (Fri,) studied this question.