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Time-varying asymmetric spillovers among cryptocurrency, green and fossil-fuel investments

Author

Listed:
  • Pham, Linh
  • Huynh, Toan Luu Duc
  • Hanif, Waqas

Abstract

Cryptocurrency is a financial innovation that brings many potential benefits, yet it has been criticized for its negative environmental impacts. To fully reap the benefits from this financial innovation, it is important to understand its relationship with low- and high‑carbon-intensive financial assets. This paper investigates the time-varying and asymmetric spillovers among cryptocurrency, green and fossil fuel investments. Using a time-varying-parameter network connectedness model, we find that the spillovers among cryptocurrency, green and fossil fuel assets vary over time and that they are more pronounced during crisis periods. Our results also reveal asymmetric spillovers among these assets, where negative return spillovers are larger than positive return spillovers. In addition, we explore the influence of macroeconomic factors and uncertainty measures on the spillovers across cryptocurrency, green and fossil fuel investments. We conclude our paper by discussing the implications of our results for environmentally conscious policymakers and investors.

Suggested Citation

  • Pham, Linh & Huynh, Toan Luu Duc & Hanif, Waqas, 2023. "Time-varying asymmetric spillovers among cryptocurrency, green and fossil-fuel investments," Global Finance Journal, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000868
    DOI: 10.1016/j.gfj.2023.100891
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    More about this item

    Keywords

    Cryptocurrency; Green; Fossil fuel; TVP spillovers; Spillover determinants; Crypto environmental attention; Crypto uncertainty;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • O3 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights

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