Four heatmaps labeled MY G S, I D G S, MY STOCK, and I D STOCK show scale on the vertical axis from about 4 to 128 and years on the horizontal axis from October 2022 to November 2024. Each panel displays intensity patterns across time and scale with several concentrated regions appearing at multiple periods. MY G S shows clusters across smaller scales near 4 to 16 and additional regions around scales near 32 to 64 across the time range. I D G S shows concentrated regions near scales 8 to 32 during early and middle periods and additional areas near scales around 64 later in the timeline. MY STOCK shows clusters near scales 8 to 32 across several periods and broader regions around scales near 32 to 64 toward later dates. I D STOCK shows multiple clusters across scales 8 to 32 with additional regions near scales around 32 to 64 during later periods.Comovement of asset classes with climate policy uncertainty
Note(s): The figures below show the intensity of the comovement between Climate Policy Uncertainty and asset classes (MY_GS, ID_GS, ID_STOCK, MY_STOCK). The comovement ranges from red (high) to blue (low). The statistical significance at 5%-level is represented by the black contours. Frequency-scale is on the left vertical axis, ranging from high-frequency (2–8 days), medium-frequency (8–32 days), to low-frequency (32–256 days), whereas the timescale is on the horizontal axis. The U-shaped solid black line marks the region influenced by edge effects. Phase differences, represented by black arrows, reveal both the lead-lag relationships and the causality type among variables. When arrows are horizontal (indicating a phase difference of zero), there is no lead-lag relationship. Arrows pointing to the left (right) suggest a negative (positive) association between asset classes, showing an out-of-phase (in-phase) relationship. If arrows are angled upward-left or downward-right, it indicates that the first variable leads the second. Conversely, arrows pointing upward-right or downward-left signify that the second variable leads, with the first one following