Climate Policy Uncertainty and ESG-Based Sustainability Uncertainty: Analysis of US Carbon-Intensive Sector Indices

The purpose of this study is to examine the relationships between Climate Policy Uncertainty (CPU) and the ESG-based Sustainability Uncertainty Index (ESGUI) and carbon-intensive Dow Jones sector indices. Findings from the analysis conducted using Wavelet Approach reveal that interactions between variables differ across time and frequency dimensions. The results show that CPU plays a leading and guiding role on both ESGUI and sector indices. The findings emphasize the need for investors to consider CPU and ESGUI indicators in their portfolio strategies and for policymakers to develop sustainable and predictable policies that reduce uncertainty.