Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market: Time-frequency evidence from Quantile-on-Quantile regression

Yinghua Ren, Nairong Wang and Huiming Zhu

The North American Journal of Economics and Finance, 2025, vol. 75, issue PA

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.

Keywords: Energy futures; Climate risks; Oil shocks; Dynamic connectedness; Risk transmission channels; Time-frequency-quantile (search for similar items in EconPapers)
JEL-codes: C32 C58 Q40 Q51 Q54 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001888

DOI: 10.1016/j.najef.2024.102263

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