How Does Climate Risk Influence the Green Bond Market Under Different Market Conditions? Evidence from China

Using the nonparametric causality-in-quantiles approach, the paper investigates the influences of climate risk on green bond return and volatility under different market conditions in China. The results show that the impact of climate risk on green bond volatility is more significant than that of green bond return under each quantile, especially in bear market and normal market. Furthermore, typhoon has a significant impact on the volatility of green bond under normal market, while rain-waterlogging, extreme temperature and drought have a significant impact on the volatility of green bond under any market conditions. In addition, the impact of changes in the market environment on green bond is considered. This study is helpful for policymakers and investors to further understand the relationship between climate risk and green bond market