Spillover effect of climate policy uncertainty, global climate risk and energy price index in major countries based on quantile VAR

This study incorporates climate policy uncertainty in major global economies, global climate risks, and energy prices into a unified analytical framework. Under the Quantile Vector Autoregression (QVAR) model framework, it investigates the spillover characteristics across quantiles and over short- and long-term horizons from both "frequency domain" and "time domain" perspectives. The empirical findings reveal: First, the full quantile analysis indicates that China's climate policy uncertainty exhibits relatively pronounced overall spillover effects, while the spillover from U.S. climate policy is lower than that of China. Second, across all quantiles, global climate risks demonstrate higher spillover effects at lower quantiles in the short term, and China's climate policy uncertainty shows strong spillover effects. In the long term, climate policy uncertainty in China, the United States, and the United Kingdom displays significant net spillover characteristics, indicating that national climate policies influence global climate risks and energy markets over time. Third, at low quantiles, climate risks exhibit spillover effects toward national climate policies and energy markets in the short term. In the long term, national climate policy uncertainty significantly affects global climate risks and energy markets. Fourth, at high quantiles, climate risks demonstrate clear net spillover characteristics in the short term, with China's climate policy uncertainty exhibiting the most significant spillover effects, influencing global climate risks and energy market prices.