A0507
Title: Measuring the climate transition risk spillover
Authors: Runfeng Yang - Complutense of Madrid (Spain) [presenting]
Abstract: The transition risk spillover is studied among six major financial markets from 2013 to 2021. It is found that the US 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 six weeks for transition risks to be fairly transmitted. On average, around 50\% of local climate shocks to a given financial market stem from other markets. Channels of transmission include the transmission of information and the economic connections between countries.
