Spillover effects between climate policy uncertainty, energy markets, and food markets: A time–frequency analysis

Ting Zhang, Peng-Fei Li and Wei-Xing Zhou

Finance Research Letters, 2025, vol. 82, issue C

Abstract: The study examines the return connectedness between climate policy uncertainty (CPU), clean energy, fossil energy, and food markets. Using the time-domain method of Diebold and Yilmaz, (2012) and frequency-domain methods of Baruník and Křhlík (2018), we find substantial spillover effects between these markets. Furthermore, high frequency domain is the primary driver of overall connectedness. In addition, CPU is a net contributor of return shocks in the short term, whereas it turns to be a net recipient in the medium and long terms. Across all frequencies, clean energy and oils are consistent net recipients, while meat is a dominant net contributor.

Keywords: Time–frequency analysis; Spillover effect; Climate policy uncertainty; Energy market; Food market (search for similar items in EconPapers)
JEL-codes: C1 G28 Q4 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325008128

DOI: 10.1016/j.frl.2025.107553

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