This paper provides evidence on the dynamic spillover among geopolitical risk, climate risk, and energy markets from an international perspective. Based on data from 13 countries between December 2002 and February 2022, we firstly confirm an overall connectedness among energy future prices, i.e., crude oil, heating oil and natural gas, with geopolitical risk and climate risk. And then, the dynamic analysis indicates that the spillover effect is frequency dependent and more pronounced at a high frequency. Furthermore, the net dynamic spillover results show that the two major shocks of geopolitical risk associated with Russia on energy markets appear in 2014 and 2022. These effects are also more pronounced at a high frequency, indicating that the conflicts can impose an immediate effect on energy markets. The significant connectedness among energy, geopolitical risk and climate risk remains unchanged after accounting for public attention, adding control variables and using the alternative measures of geopolitical risk and climate risk.

本文从国际视角提供了地缘政治风险、气候风险和能源市场之间动态溢出的证据。基于 2002 年 12 月至 2022 年 2 月期间来自 13 个国家的数据，我们首先确认了能源期货价格之间的整体关联性，即、原油、取暖油和天然气，具有地缘政治风险和气候风险。然后，动态分析表明溢出效应是频率相关的，并且在高频时更为明显。此外，净动态溢出结果显示，与俄罗斯相关的地缘政治风险对能源市场的两次重大冲击出现在2014年和2022年，这些影响在高频率下也更为明显，表明冲突可以对能源产生直接影响。市场。在考虑公众关注度、增加控制变量并使用地缘政治风险和气候风险的替代度量后，能源、地缘政治风险和气候风险之间的显着关联性保持不变。