Spillover effects of climate transition risk and financial sectors: New evidence from China
Shiyuan Li,
Xin Li
Abstract:This paper employs the connectedness approach based on a time‐varying parameter vector autoregressive model (TVP‐VAR) to examine the overall spillover effects, directional spillover effects and pairwise spillover effects of climate transition risk (CTR) and financial sectors of China in both the time domain and frequency domain. The main findings are as follows: Firstly, spillover effects from CTR are significant, impacting not only individual sectors but also amplifying across the entire system. Secondly, whi… Show more
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