The thesis analyses in which way macroeconomic variables, including inflation, short-term interest rates and GDP growth, and sustainability indices are connected. A statistical analysis is carried out with the aim of finding out the correlation between the sustainability index and macroeconomic variables, on the example of the FTSE4Good US benchmark index and data from the US economy. Before analysis, notion of stock exchange is defined, functions of the stock exchange are explained, and an insight into the operations of the world's largest stock exchanges such as the New York Stock Exchange, EURONEXT, London Stock Exchange and NASDAQ is given. Furthermore, the thesis describes sustainability indices content and movements. Sustainability indices such as the Dow Jones Sustainability Index and FTSE4Good are key tools for investors searching for companies that prioritize sustainable practices in their operations and management. These indices rate companies based on a range of environmental, social and governance (ESG) criteria, and only include those that fulfil them. In the context of green finance, I also explain green bonds. Finally, based on the correlation analysis of data for 83 quarters (from 2002. to 2022.) I find out that FTSE4Good US benchmark and inflation are in positive relationship, while GDP growth and short-term interest rates are insignificant.