This paper studies how climate risks spill over to European electricity markets across time and frequency domains using the connectedness network approach. By introducing three climate risk measures—the climate policy uncertainty index, climate physical risk index, and climate concern index—the empirical results reveal the vulnerability of European electricity markets to volatile climate policies and extreme climate crisis events. Overall, the spillover effects in the climate–electricity nexus are primarily concentrated in the medium- and long-term frequency domains, indicating that the impact of climate risk shocks is persistent. Compared with the impact of climate physical risks and climate concern shocks, the spillovers from climate policy uncertainty shocks to the electricity market are higher and more persistent. These findings highlight the need to consider the heterogeneous impacts of climate risks on electricity markets at different frequency bands.

中文翻译：

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衡量欧洲电力市场气候风险溢出带来的危机


本文使用连通网络方法研究了气候风险如何跨时域和频域溢出到欧洲电力市场。通过引入气候政策不确定性指数、气候物理风险指数和气候关注指数这三个气候风险衡量指标，实证结果揭示了欧洲电力市场对气候政策波动和极端气候危机事件的脆弱性。总体而言，气候-电力关系的溢出效应主要集中在中长期频域，表明气候风险冲击的影响是持续的。与气候物理风险和气候担忧冲击的影响相比，气候政策不确定性冲击对电力市场的溢出效应更高、更持久。这些发现强调需要考虑气候风险对不同频段电力市场的异质影响。