Abstract
This paper examines the relationships among cryptocurrency environmental attention and clean cryptocurrencies prices using Time-Varying Parameter Vector Auto-Regression (TVP-VAR) and wavelets techniques. Results show strong connectedness among these variables, implying that the prices of clean cryptocurrencies are influenced by attention on cryptocurrency sustainability. Connectedness is stronger with positive shocks on environmental attention than negative shocks. Also, in the short-term, clean cryptocurrencies prices lead environmental attention, especially after 2021. However, there are notable periods when environmental attention led clean cryptocurrency prices before 2021. In the long-term, clean cryptocurrencies such as Hedera, Polygon, Cosmos, IOTA, TRON, Stellar, Tezos and Ripple lead environmental attention. In the presence of bitcoin, the degrees of connectedness increased across both shocks on cryptocurrency environmental attention. In all cases, the bitcoin market is the main destination of shocks from the system. We highlight some crucial implications of these results.
| Original language | English |
|---|---|
| Article number | 101953 |
| Journal | Research in International Business and Finance |
| Volume | 65 |
| DOIs | |
| Publication status | Published - 2023 |
Bibliographical note
Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Keywords
- Asymmetric connectedness
- Clean cryptocurrency
- Cryptocurrency environmental attention
- Environmental sustainability
- Risk spillovers
- Wavelets coherence