Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?

In this paper, we examine the time-varying tail risks transmission among the agricultural, precious metals, and energy commodities markets, and explore how climate change concerns affect this connectedness. Using the Conditional Autoregressive Value-at-Risk (CAViaR) model and the time-varying parameter vector autoregressive (TVP-VAR) connectedness model, our empirical analysis reveals several key findings. First, our tail risk-based approach shows that tail risks transmission rises during crisis periods such as the GFC of 2007 and the Covid period of 2020. Second, climate risks , in particular climate transitions risks, play an important role in commodity tail risk connectedness. These findings are important for investors, practitioners, and policymakers. Our results are robust to a number of robustness tests.