The macroeconomic and financial effects of climate change concerns

This article examines how media-driven climate change concerns affect major U.S. economic and financial indicators. Using a media-based climate change index and monthly data from 2003 to 2025, it employs a Vector Autoregression framework to analyze the responses of labor markets, consumer confidence, stock markets, treasury bill rates, manufacturing activity, and exports to changes in climate-related media attention. The results suggest that climate-related attention is associated with responses in macroeconomic and financial indicators. During the first month following an innovation in the climate change index, most indicators exhibit positive responses, which may reflect heightened awareness, expectations of policy action, or increased attention to green investment opportunities. By the second month, these responses generally reverse, which may be consistent with uncertainty, regulatory adjustment costs, or changing economic expectations. By using a media-based climate change index instead of relying solely on physical climate indicators or climate policy variables, the study contributes to the growing literature on climate-related information and macroeconomic dynamics.