Given the recent green development for tackling climate change, we examine the risk spillover mechanisms and risk management strategies in the carbon market, the stock market (divided into conventional stocks and low-carbon footprint stocks), and the bond market (divided into conventional bonds...

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...