Does climate policy uncertainty drive the quantile higher-order moment spillovers among international oil and China’s commodity futures?

This paper innovatively examines how China’s Climate Policy Uncertainty (CCPU) heterogeneously affects spillovers between international oil and China’s commodity markets through a quantile higher-order moment framework. Methodologically, we integrate the ACD model with advanced connectedness approaches: the TVP-VAR extended joint connectedness captures dynamic higher-order moment spillovers, while causality-in-quantiles and quantile-on-quantile methods assess CCPU’s external impacts across market conditions. Our findings reveal three key insights. First, CCPU exerts significant, quantile-dependent influences on spillovers, with variance-based causality concentrated at moderate-to-high quantiles following the gradient kurtosis > skewness > volatility. Second, while CCPU predominantly acts as a net spillover receiver, it uniquely transmits skewness spillovers at the median quantile, highlighting monitoring needs even under normal conditions. Third, international oil markets serve as unstable net transmitters, while agricultural commodities remain vulnerable net receivers, demonstrating energy’s amplification role and agriculture’s systemic fragility. These results underscore the critical role of CCPU in shaping quantile-dependent spillover dynamics and emphasize incorporating higher-order moments into hedging strategies, risk monitoring, and systemic risk management.