{"title":"The time-varying relationship between climate uncertainty, low-carbon stocks and green bonds","authors":"Ziyao Xu , Deheng Zhou , Junfeng Ma , Jing Yuan","doi":"10.1016/j.najef.2025.102387","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102387"},"PeriodicalIF":3.8000,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940825000270","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
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.
期刊介绍：
The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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