We assess the dynamic effects of foreign exchange risk in renewable energy investments using machine learning, Bayesian Model Averaging, and structural vector autoregression techniques. Currency risk exerts a significant downward effect on capital intensity, with over half of the currency risk discount on climate investments driven by persistent macroeconomic factors - inflation, real interest rates, political stability, and business cycle risk. These effects exhibit heterogeneity across countries and time, underscoring the importance of stable macro-financial environments. Policy implications emphasize targeting the stable component of currency risk with structural hedging mechanisms to unlock investment and reduce the cost of capital in developing countries.