Abstract
This study investigates the dynamic risk spillovers between U.S. renewable energy sectors and financial markets, distinguishing between energy generation and consumption. Utilising a three-stage framework of connectedness analysis, Time-Varying Granger Causality, and the Intertemporal CAPM, we find that systemic risk is significantly higher within the generation sector. This risk transmits episodically to sustainable financial assets, confirming a direct thematic linkage, while conventional bonds remain largely insulated. Furthermore, asset pricing tests reveal a market segmentation: conventional bonds price consumption-side risk, reflecting broader macroeconomic uncertainty, while sustainable bonds are driven by their integration with the market portfolio, indicating an emerging "green beta". These findings provide critical insights for investors managing differentiated risk exposures and for policymakers aiming to safeguard financial stability during the energy transition.