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Measuring Climate Transition Risk Spillovers

Author

Listed:
  • Runfeng Yang
  • Massimiliano Caporin
  • Juan-Angel Jiménez-Martin

Abstract

In this article, we study the transition risk spillover among six major financial markets from 2013 to 2021. The USA is the main transition risk contributor, while Japan and China are the net risk receivers. Risk spillover may change over time and change according to different types of transition risk shocks. It takes around 6 weeks for transition risks to be fairly transmitted. On average, around 50% of local climate shocks to a given financial market originate from other markets. Transmission channels include the transmission of information and the economic connections between countries.

Suggested Citation

  • Runfeng Yang & Massimiliano Caporin & Juan-Angel Jiménez-Martin, 2024. "Measuring Climate Transition Risk Spillovers," Review of Finance, European Finance Association, vol. 28(2), pages 447-481.
    • Handle: RePEc:oup:revfin:v:28:y:2024:i:2:p:447-481.
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    File URL: http://hdl.handle.net/10.1093/rof/rfad026
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    Citations

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    Cited by:

    1. Zheng, Tingguo & Zhang, Hongyin & Ye, Shiqi, 2024. "Monetary policies on green financial markets: Evidence from a multi-moment connectedness network," Energy Economics, Elsevier, vol. 136(C).

    More about this item

    Keywords

    Climate change; Carbon risk premium; Transition risk; Connectedness network; Carbon emission; Climate risk;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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