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Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?

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  • Pham, Linh
  • Kamal, Javed Bin

Abstract

In this paper, we examine the time-varying tail risks transmission among the agricultural, precious metals, and energy commodities markets, and explore how climate change concerns affect this connectedness. Using the Conditional Autoregressive Value-at-Risk (CAViaR) model and the time-varying parameter vector autoregressive (TVP-VAR) connectedness model, our empirical analysis reveals several key findings. First, our tail risk-based approach shows that tail risks transmission rises during crisis periods such as the GFC of 2007 and the Covid period of 2020. Second, climate risks, in particular climate transitions risks, play an important role in commodity tail risk connectedness. These findings are important for investors, practitioners, and policymakers. Our results are robust to a number of robustness tests.

Suggested Citation

  • Pham, Linh & Kamal, Javed Bin, 2024. "Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?," Journal of Commodity Markets, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000266
    DOI: 10.1016/j.jcomm.2024.100407
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    Cited by:

    1. Yan-Hong Yang & Ying-Hui Shao & Wei-Xing Zhou, 2024. "Contemporaneous and lagged spillovers across crude oil, carbon emission allowance, climate change, and agriculture futures markets: Evidence from the $R^2$ decomposed connectedness approach," Papers 2408.09669, arXiv.org.

    More about this item

    Keywords

    Media climate change concerns; Commodities returns; Climate transition risks; Climate physical risks;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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