The European Central Bank (2020) defines Climate Transition Risk as “an institution’s financial loss that can result, directly or indirectly, from the adjustment process to a less carbon and more environmentally sustainable economy”. 

This represents a concern rooting in the Paris Agreement, pushing countries to introduce carbon reduction policies for controlling or limiting the impact on climate change. Many studies have addressed the issue of measuring Climate Transition Risk, how it emerges and how it impacts on the countries’ economy, but less attention has been given to the transmission of climate transition across countries (or financial markets). 

This aspect deserves more attention, due to the globalization of the financial markets and the strong trade and financial links across countries. The study of Yang, Caporin, and Jiménez-Martin (2024) provides a criterion for measuring the spillover originating from climate transition risk, disentangling the simultaneous reaction from the non-simultaneous one, the latter coming from a predictive view. 

The non-simultaneous risk transmits within 6 weeks from an originating event, with positive and negative shocks being characterized by different speeds of transmission. Economics and financial links across countries/markets represent a major channel for climate transition risk spillover.