Abstract
<title>Abstract</title> <p> In this paper, we explore the quantile time-frequency connections among climate physical risk, climate transition risk, and the carbon, energy, and metals markets, with the analysis conducted through the lens of higher-moment risks. Furthermore, we construct a multilayer network that integrates information on return, volatility, skewness, and kurtosis risks under diverse market conditions, and measure the topological properties of this network. The results reveal the following key insights: First, within the spillover effects among climate physical risk, climate transition risk, and the carbon, energy, and metals markets, the overall higher-moment risk spillovers exhibit statistical significance and time-varying characteristics, even though their magnitude is lower than that of return and volatility spillovers. Second, risk spillovers associated with returns, skewness, and kurtosis are primarily driven by short-term dynamics, whereas volatility-related risk spillovers tend to be concentrated largely in the long run. In the "climate risk-carbon-energy-metals" system, climate risks generally act as spillover receivers; however, they shift to become spillover transmitters in the context of long-term risks during market downturns. Finally, findings from the multilayer complex network analysis demonstrate significant differences in the structural configurations of the interconnected networks linking climate risks to the return, volatility, skewness, and kurtosis risks of the carbon, energy, and metals markets across varying market states. <bold>JEL classification:</bold> G10, G15 </p>