Abstract
Using meteorological monitoring data from eight climate disasters across the globe along with financial data from the WTI and BNG energy markets, this study employs the fixed-base extreme difference entropy method to construct a climate risk index (CRI) and investigates the relationship between climate risk, geopolitical risk (GPR), and energy market risk based on the mixed-frequency VAR (MF-VAR) method. The empirical results show that an increase in both GPR and CRI is related to an increase in energy market risk, and that a higher CRI is associated with greater GPR. Moreover, the positive relationship between CRI scores and energy market risk after the Paris Agreement has grown stronger.
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