Risk Spillover Effects in Energy Markets Under Climate Change: Evidence from the Chinese Market

Shufen Cao, Min Pang (), Yongtan Ma, Qianyu Dong and Yongping Tao
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Shufen Cao: School of Economics and Management, Southwest Petroleum University, Chengdu 610500, China
Min Pang: School of Economics and Management, Southwest Petroleum University, Chengdu 610500, China
Yongtan Ma: School of Economics and Management, Southwest Petroleum University, Chengdu 610500, China
Qianyu Dong: School of Economics and Management, Southwest Petroleum University, Chengdu 610500, China
Yongping Tao: China National Petroleum Corporation Drilling Fluid Technical Service Company, Sichuanqing Drilling Engineering Co., Chengdu 610051, China

Sustainability, 2025, vol. 17, issue 5, 1-20

Abstract: To ascertain the impact of climate change on risk spillovers in energy markets, the vector autoregressive (VAR) model and the impulse response function (IRF) were utilized to analyze risk spillover effects in China’s energy markets between 2007 and 2023. The findings indicated that the risk spillover from climate change in China’s energy markets is characterized by asymmetric and time-varying characteristics. A substantial degree of heterogeneity exists among distinct energy markets. Climate physical risk has a detrimental effect on risk spillovers in energy markets, while transition risk has a positive impact on risk spillover in fuel, LPG, and natural gas markets, and a negative effect on risk spillover in alcohol, gasoline, and diesel markets.

Keywords: climate change; Chinese energy market; risk spillover effects; VAR model; impulse response function (IRF); asymmetric dynamics; transition risk; physical risk (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2025
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