Abstract
This study asks whether physical climate-risk transmission across insurance, reinsurance, climate-vulnerable sovereign bond, real-estate, agricultural, water, and adaptation markets is detectable in daily data. A news-based physical-risk index and seven publicly documented market series, observed from January 2020 to June 2026, are analysed with quantile vector autoregression connectedness. Inference uses bias-corrected bootstrap intervals, three placebo nulls, and a Monte Carlo power analysis. The markets are strongly connected (total connectedness 47.0%, 45.1%, and 47.2% at the 5%, 50%, and 95% quantiles), but this connectedness belongs to the equity block and two-fifths of it is a common market factor. Tail amplification is small and disappears once the March 2020 crash is excluded. Reinsurers are net receivers and insurers net transmitters at every quantile. The physical-risk index contributes no more to the markets, or to sovereign bonds in the lower tail, than a placebo index, and rolling estimates show no upward trend. A power analysis shows that the connectedness tests detect only large, linear transmission; a complementary co-exceedance test has 86% power against tail-only transmission above about 2% of receivers’ variance (smaller effects cannot be excluded). Weekly, monthly, and disaster-loss specifications agree. An uncentred innovation covariance mechanically inflates tail connectedness to about 81%.