Does Public Climate Attention Affect the Net Return Spillover from Energy to Non-Energy Commodities?

In this paper, we construct the comprehensive public climate attention index and several classified public climate attention index based on Baidu search index. Then, we use the modified Diebold and Yilmaz method based on the TVP-VAR-SV model to measure the system connectivity of energy and non-energy commodities. Furthermore, we analyze the impact of climate change attention on the net spillover from energy to non-energy commodities. The empirical results show that climate change attention has a significant positive impact on the net spillover effect of energy on non-energy commodities. However, climate physical attention and climate transition attention show opposite effects. Climate physical attention shows a negative effect, while climate transition attentions show a positive effect. In addition, major events such as the COVID-19 pandemic significantly increase the impact on the net energy spillover, particularly in the case of climate transition attention.