Fig. 2

Dynamic effects of a Climate Policy Risk shock. Note: Impulse response functions correspond to a one standard deviation shock to the reduced form residual of the CPR index variable. Shocks are set-identified using narrative restrictions around the transition risk events from Table 1 which take place before the end of the sample in 2020M2. Confidence intervals and median response are obtained using the extension of the wild bootstrap procedure (Additional file 1: Appendix E.3). I consider 1,000 bootstrap replications. The policy rate is expressed in per cent, and the Swiss Economic Policy Uncertainty index is normalized to have a mean equal to 100. All the other variables are in log levels