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

Ziyao Xu, Deheng Zhou, Junfeng Ma and Jing Yuan

The North American Journal of Economics and Finance, 2025, vol. 77, issue C

Abstract: 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.

Keywords: TVP-VAR; Climate Uncertainty; Green bonds (search for similar items in EconPapers)
JEL-codes: G11 G12 G28 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000270

DOI: 10.1016/j.najef.2025.102387

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