Valuing the Invisible: Consequences of Institutional Investors' Climate Change Attention on Commodity Multilayer Information Spillover Network Dynamics

This study investigates how institutional investors' climate attention shapes multilayer information spillovers across commodity‑futures markets from 2014 to 2024. Using daily data for 27 commodity futures, this study examines how institutional climate change attention affects multilayer information spillovers across return, volatility, short‐term tail risk, and long‐term skewness risk within. The network topology reveals that fossil fuels act as primary risk emitters, with short‐term tail risk dominating long‐term skewness spillovers. To accurately quantify institutional climate attention, we isolate an effective climate attention index by filtering out Bloomberg search volume noise using a two‐step rolling error correction model. Crucially, empirical results show that institutional climate attention exerts a state‐dependent stabilizing effect: it actively dampens tail risk propagation during market upturns, but weakens significantly during severe downturns, leaving networks vulnerable to contagion. These findings highlight climate attention's nuanced role in systemic risk transmission and commodity market regulation.