We explore the time-frequency spillovers among carbon, fossil energy and clean energy markets, and consider the casual effects of climate change attention. The spillover effects among carbon, fossil energy and clean energy markets are time-varying. Carbon market is a net receiver of spillovers from the oil market and clean energy markets in the short term, but it becomes a net transmitter of spillovers to the coal and gas markets in the long term. Our marginal spillover effects analysis suggests that the COVID-19 pandemic has increased cross-market risk contagion in the long term and that carbon market bears larger input risks. Investors' attention to climate change has significant causal effects on the spillovers, and the causal impact of climate change attention on total spillover has significantly increased during the COVID-19 pandemic. Our findings provide important guidelines for investment in environmental protection and demonstrate the importance of formulating differentiated policies for environmental protection in different time horizons.

我们探索碳、化石能源和清洁能源市场之间的时频溢出效应，并考虑气候变化关注的偶然影响。碳、化石能源和清洁能源市场之间的溢出效应是随时间变化的。碳市场在短期内是石油市场和清洁能源市场溢出效应的净接收器，但从长期来看，它会成为煤炭和天然气市场溢出效应的净传递器。我们的边际溢出效应分析表明，从长远来看，COVID-19 大流行增加了跨市场风险传染，碳市场承担着更大的投入风险。投资者对气候变化的关注对溢出具有显着的因果影响，而在 COVID-19 大流行期间，气候变化关注对总溢出的因果影响显着增加。