 Measuring crisis from climate risk spillovers in European electricity marketsWanli Zhao, Xiangyang Zhai, Qiang Ji and Zhenhua Liu Energy Economics, 2024, vol. 134, issue C Abstract: This paper studies how climate risks spill over to European electricity markets across time and frequency domains using the connectedness network approach. By introducing three climate risk measures—the climate policy uncertainty index, climate physical risk index, and climate concern index—the empirical results reveal the vulnerability of European electricity markets to volatile climate policies and extreme climate crisis events. Overall, the spillover effects in the climate–electricity nexus are primarily concentrated in the medium- and long-term frequency domains, indicating that the impact of climate risk shocks is persistent. Compared with the impact of climate physical risks and climate concern shocks, the spillovers from climate policy uncertainty shocks to the electricity market are higher and more persistent. These findings highlight the need to consider the heterogeneous impacts of climate risks on electricity markets at different frequency bands. Keywords: Climate risk; Electricity market; Risk spillover; Frequency domain (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002949 DOI: 10.1016/j.eneco.2024.107586 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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