Measuring Climate Transition Risk Spillovers

Runfeng Yang, Massimiliano Caporin and Juan Jimenez-Martin

Review of Finance, 2024, vol. 28, issue 2, 447-481

Abstract: In this article, we study the transition risk spillover among six major financial markets from 2013 to 2021. The USA is the main transition risk contributor, while Japan and China are the net risk receivers. Risk spillover may change over time and change according to different types of transition risk shocks. It takes around 6 weeks for transition risks to be fairly transmitted. On average, around 50% of local climate shocks to a given financial market originate from other markets. Transmission channels include the transmission of information and the economic connections between countries.

Keywords: Climate change; Carbon risk premium; Transition risk; Connectedness network; Carbon emission; Climate risk (search for similar items in EconPapers)
JEL-codes: C51 G15 G32 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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