Contemporaneous and lagged spillovers across crude oil, carbon emission allowance, climate change, and agriculture futures markets: Evidence from the $R^2$ decomposed connectedness approach

Abstract

In this paper, we examine the dynamic spillovers among the crude oil, carbon emission allowance, climate change, and agricultural markets. Adopting a novel $R^2$ decomposed connectedness approach, our empirical analysis reveals several key findings. The overall TCI dynamics have been mainly dominated by contemporaneous dynamics rather than the lagged dynamics. We also find climate change has significant spillovers to other markets. Moreover, there are heterogeneous spillover effects among agricultural markets. Specially, corn is the biggest risk contributor to this system, while barley is the major risk receiver of shocks.