Climate risks, macroeconomic fundamentals, and market sentiment As specified, the dependent variables for the ARDL/NARDL model are the conditional time-varying correlations between dirty and clean energy ETFs yielded by the DCC-/ADCC-GARCH models. Moreover, we input several explanatory variables to fulfill the research objectives. The explanatory variables can be categorized into climate risk, the USD value, business cycle, funding liquidity, and market sentiment. All the variables required for the ARDL models are as follows (see Appendix A for more Climate risks, macroeconomic fundamentals, and market sentiment As specified, the dependent variables for the ARDL/NARDL model are the conditional time-varying correlations between dirty and clean energy ETFs yielded by the DCC-/ADCC-GARCH models. Moreover, we input several explanatory variables to fulfill the research objectives. The explanatory variables can be categorized into climate risk, the USD value, business cycle, funding liquidity, and market sentiment. All the variables required for the ARDL models are as follows (see Appendix A for more This work was supported by the National Social Science Fund of China (NSSFC) [grant numbers 22BJY197; 23BJY050]; the National Natural Science Foundation of China (NNSFC) [grant number 71973053]; the Research Project of the Education Department of Hunan Province [grant number 23B0250]; and the Social Science Young Scientist fund [grant number 2017QZ005] in study design. CRediT authorship contribution statement Di Li: Writing – original draft, Methodology, Formal analysis, Data curation, Conceptualization. Zhige Wu: Writing – review & editing, Visualization, Methodology, Investigation, acquisition. Yixuan Tang: Writing – original draft, Conceptualization.
