The time-varying relationship between climate uncertainty, low-carbon stocks and green bonds

•We studied both CU and CPU.•We found the time-varying nature of the relationship between the variables.•We study the accumulated impact of CU and CPU.•Our results have important implications for both policy makers and investors. In the context of climate risk, it is crucial to manage the risk of gr...

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Bibliographic Details
Published inThe North American journal of economics and finance Vol. 77; p. 102387
Main Authors Xu, Ziyao, Zhou, Deheng, Ma, Junfeng, Yuan, Jing
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.03.2025
Subjects
Climate Uncertainty
Green bonds
TVP-VAR
TVP-VAR
Green bonds
G12
Climate Uncertainty
G28
G11
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Summary:•We studied both CU and CPU.•We found the time-varying nature of the relationship between the variables.•We study the accumulated impact of CU and CPU.•Our results have important implications for both policy makers and investors. In the context of climate risk, it is crucial to manage the risk of green financial markets well. In this paper, we construct a TVP-SV-VAR model to assess the dynamic impacts of climate uncertainty and climate policy uncertainty on low-carbon stocks and green bonds, and we use a spillover index model based on the TVP-VAR model to assess the spillover effects between them. The results show that the impacts of climate uncertainty and climate policy uncertainty on low-carbon stocks and green bonds are time-varying. In addition, green bonds are subject to smaller spillovers from climate policy uncertainty and climate uncertainty compared to low-carbon stocks. Our findings have important implications for both policymakers and investors.
ISSN:1062-9408
DOI:10.1016/j.najef.2025.102387