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

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  • Xu, Ziyao
  • Zhou, Deheng
  • Ma, Junfeng
  • Yuan, Jing

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.

Suggested Citation

  • Xu, Ziyao & Zhou, Deheng & Ma, Junfeng & Yuan, Jing, 2025. "The time-varying relationship between climate uncertainty, low-carbon stocks and green bonds," The North American Journal of Economics and Finance, Elsevier, vol. 77(C).
    • Handle: RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000270
    DOI: 10.1016/j.najef.2025.102387
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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