Weather Change and Spillover Effects of China’s Energy Futures Market: Based on Different Market Conditions

Weather change, as a physical risk factor of climate change, increasingly impacts the energy market. This paper investigates China’s major energy futures using a QVAR framework to analyze spillover effects under different market conditions, addressing mean-model limitations. It also reveals state-dependent weather impacts on spillovers, providing physical climate risk evidence. The results show the following: (1) Spillover effects intensify under extreme conditions, with crude oil and fuel oil as main transmitters, and methanol and coking coal as key recipients. Coking coal shows a stronger spillover absorption capacity under extreme conditions. (2) The Total Spillover Index (TSI) displays significant time-varying feature and sensitivity to external shocks, with heightened asymmetry and complexity in extreme markets. (3) Weather change significantly affects spillovers of China’s energy futures, with temperature, cooling and heating loads, and precipitation showing different impacts on TSI across market conditions. These findings provide references for energy finance regulation and risk early warning under climate change conditions.