Abstract
This study investigates the dynamic risk nexus among climate risks, oil shocks and China’s energy futures market from a time–frequency-quantile perspective. We first explore the dynamic connectedness of “climate risks – oil shocks – energy futures” and examine the risk transmission channels through mediation effects model. The Quantile-on-Quantile regression is used to study the time–frequency impact of climate risks and oil shocks on energy futures across different market conditions and investment horizons. Our empirical results are as follows: First, climate transition risks, oil demand and risk shocks play mediating roles in risk transmission channels. Second, the impact of climate risks and oil shocks on energy futures is heterogeneous and asymmetric under extreme conditions. Notably, global warming, oil supply shock and international climate summits are the greatest shocks to China’s energy market. Finally, climate risks and oil shocks are more pronounced in the short term. Overall, these findings offer valuable insights for shaping risk management strategies and implementing effective hedging practices within the energy market.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
