Abstract
<title>Abstract</title> <p> This paper examines whether climate-related uncertainty becomes financially relevant for systemic vulnerability only under specific network and sector conditions. Using monthly data for North American and European banking, insurance, energy, and utilities sectors from 2011 to 2025, the study constructs GARCH-based inward spillover exposure (a volatility-based measure of vulnerability to shocks transmitted from other sectors) from rolling VAR forecast-error variance decompositions and estimates fixed-effects models with distributed lags and Driscoll-Kraay inference. The pooled climate effect is weak, but important heterogeneity emerges. Climate volatility is more informative when spillover positions are more unevenly distributed across the network and when sectoral sensitivities differ, while network structure and persistence remain the most stable correlates of inward vulnerability. The findings imply that climate-related financial vulnerability is conditional rather than uniform, with implications for systemic risk monitoring, supervisory surveillance, and network-aware stress testing. <bold>JEL classification:</bold> <bold>Q54; G01; G15; C23</bold> </p>