Climate Risk Transmissions to Commodity Markets: Evidence from a Mixed-Frequency Spillover Approach
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| Title: | Climate Risk Transmissions to Commodity Markets: Evidence from a Mixed-Frequency Spillover Approach |
|---|---|
| Language: | English |
| Authors: | Ye Chen, Yu Wei (ORCID |
| Source: | Evaluation Review. 2026 50(3):346-383. |
| Availability: | SAGE Publications. 2455 Teller Road, Thousand Oaks, CA 91320. Tel: 800-818-7243; Tel: 805-499-9774; Fax: 800-583-2665; e-mail: journals@sagepub.com; Web site: https://sagepub.com |
| Peer Reviewed: | Y |
| Page Count: | 38 |
| Publication Date: | 2026 |
| Document Type: | Journal Articles Reports - Research |
| Descriptors: | Climate, Risk, Business, Statistical Analysis |
| DOI: | 10.1177/0193841X251391891 |
| ISSN: | 0193-841X 1552-3926 |
| Abstract: | The relationship between climate risks and commodity markets remains insufficiently explored, especially when analyzed through the lens of high-frequency data. This study seeks to address this gap by investigating the spillover effects of global climate risks, both physical and transitional, on key commodity markets and employs a novel analytical framework. By utilizing newly developed climate risk indices alongside the innovative mixed-frequency spillover measure, this research combines high-frequency climate risk data with the responses of low-frequency commodity prices. Our results highlight notable spillover effects, demonstrating that climate risks serve as the primary drivers of spillovers to commodity markets in a mixed-frequency data context, whereas such effects are not observed within a common-frequency data environment. These findings have important implications for policy-makers and investors, indicating that current market analyses may not capture the influence of climate risk adequately. |
| Abstractor: | As Provided |
| Entry Date: | 2026 |
| Accession Number: | EJ1501591 |
| Database: | ERIC |
| Abstract: | The relationship between climate risks and commodity markets remains insufficiently explored, especially when analyzed through the lens of high-frequency data. This study seeks to address this gap by investigating the spillover effects of global climate risks, both physical and transitional, on key commodity markets and employs a novel analytical framework. By utilizing newly developed climate risk indices alongside the innovative mixed-frequency spillover measure, this research combines high-frequency climate risk data with the responses of low-frequency commodity prices. Our results highlight notable spillover effects, demonstrating that climate risks serve as the primary drivers of spillovers to commodity markets in a mixed-frequency data context, whereas such effects are not observed within a common-frequency data environment. These findings have important implications for policy-makers and investors, indicating that current market analyses may not capture the influence of climate risk adequately. |
|---|---|
| ISSN: | 0193-841X 1552-3926 |
| DOI: | 10.1177/0193841X251391891 |
