This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the green bond and equity markets varies with different moments (returns, volatility, skewness, and kurtosis) and changes significantly around Federal Open Market Committee (FOMC) events. Static analysis shows a decrease in connectedness with higher moments, while dynamic analysis highlights increased sensitivity to event-driven shocks. We find that both tight and loose monetary policy shocks initially elevate connectedness within the first six months. However, the effects of tight shocks gradually fade, whereas loose shocks may reduce connectedness after one year. These results offer insight to policymakers in regulating sustainable economies and investment managers in strategizing asset allocation and risk management, especially in environmentally focused markets. Our study contributes to understanding the complex dynamics of the green financial market in response to monetary policies, helping in decision-making for sustainable economic development and financial stability.

中文翻译：

---

绿色金融市场的货币政策：来自多时刻连通网络的证据


本文介绍了一种新颖的多时刻连通性网络方法来分析绿色金融市场的互联性。着眼于货币政策冲击的影响，我们的研究表明，绿色债券和股票市场内的连通性随着不同时刻（回报、波动性、偏度和峰度）的不同而变化，并且在联邦公开市场委员会 (FOMC) 事件期间发生显着变化。静态分析显示，随着较高时刻的关联性降低，而动态分析则强调对事件驱动冲击的敏感性增加。我们发现，紧缩和宽松的货币政策冲击最初都会在前六个月内提升连通性。然而，严格的冲击的影响会逐渐消退，而宽松的冲击可能会在一年后降低连通性。这些结果为政策制定者监管可持续经济和投资经理制定资产配置和风险管理战略（尤其是在以环境为重点的市场）提供了见解。我们的研究有助于了解绿色金融市场对货币政策的复杂动态反应，有助于可持续经济发展和金融稳定的决策。