Since the signing of the Paris Agreement, global climate governance has entered a new stage, and some governments have been actively deepening international cooperation to promote global green and sustainable development. Green finance is a new financial model that combines environmental protection with economic profits, playing a significant role in environmental governance. In this context, green finance policies have greater impacts on the financial costs of high-pollution and high-energy-consumption enterprises with two mechanisms of action; on the one hand, green finance policies directly raise the financial threshold for high-energy-consumption and high-pollution enterprises, increasing their debt financing costs; on the other hand, these enterprises can establish good social images through green technology innovation and green information disclosure, which not only helps to gain the favor of investors but also obtain green financial policy support, and to some extent alleviates their costs of debt financing. The purpose of this study is to explore the mechanism and effectiveness of green finance policies, for it would be conducive to improving China's green finance policy system and guiding the green transformation and upgrading of high-energy-consumption and high-pollution enterprises, thus providing important theoretical and practical significance for China's green transformation.#br#The current research on green finance policies has some inadequacies. Firstly, the existing literature assumes that green finance policies increase the difficulty of financing for high-energy-consumption and high-pollution enterprises, thus increasing their total financial costs. In fact, this confuses the total quantity effect and cost effect. Secondly, the existing research ignores the strategic behavior of high-energy-consumption and high-pollution enterprises. Enterprises can take "signaling warfare" to deal with the impact of adverse policies on their financing costs, such as reducing their external financing costs by creating adverse selection through environmental disclosure. Furthermore, the role of green finance policies is a dynamic process, and the policies themselves are committed to stimulating green technology innovation and achieving green transformation in enterprises. After the transformation, the financing costs of enterprises have been significantly reduced, and thus relevant research is insufficient.#br#Following the theory of incomplete information dynamic game, this study reveals the relationship between strategic behavior and financing activities of high-energy-consumption and high-pollution enterprises against the backdrop of green finance policies. Green finance policies can trigger "signal warfare" and green innovation behavior of enterprises, forming multiple Nash equilibria, and having different impacts on the financing of high-energy-consumption and high-pollution enterprises. In order to verify the correctness of the theory, on the basis of the relevant data of 537 listed companies, this paper adopts the chain mediation effect model to examine the impact of green financial policies on the financial costs of high-energy-consumption and high-pollution enterprises. The study finds that green financial policies can not only directly alleviate the financing costs of high-energy-consumption and high-pollution enterprises, but also play the mediating role of environmental information disclosure and green technology innovation. Then, the three indirect paths of environmental information disclosure and green technology innovation as chain mediators reduce their financing costs.#br#This study provides a new perspective for the study of the mechanism of green finance policy, and suggestions for policy improvement are presented. First, the environmental protection department should establish environmental information review agencies which are expected to collect and evaluate the environmental information disclosed by high-energy-consumption and high-pollution enterprises, and then issue relevant evaluation reports. The review of environmental information by third-party institutions and the issuance of relevant reports are conducive to reducing information asymmetry and improving transaction efficiency in the capital market. Second, the government should establish an incentive mechanism for promoting green innovation through the joint participation of the government, enterprises, and the public by making favorable policies to attract and cultivate elite talent, improving the intellectual property protection system, and increasing public awareness and understanding of green innovation. Third, for the enterprises with green innovation capabilities but insufficient R&D investment, the government should establish special funds to support these enterprises and expand their financing channels.#br#