Dependence and risk spillovers among clean cryptocurrencies prices and media environmental attention

Ndubuisi, G.O.; Urom, Christian

doi:10.1016/j.ribaf.2023.101953

Dependence and risk spillovers among clean cryptocurrencies prices and media environmental attention

Journal article (2023)

Authors

G.O. Ndubuisi Economics of Technology and Innovation -

Christian Urom Paris School of Business

Research Group

Economics of Technology and Innovation () (TU Delft)

DOI: https://doi.org/10.1016/j.ribaf.2023.101953

Environmental sustainability Asymmetric connectedness Clean cryptocurrency Cryptocurrency environmental attention Risk spillovers Wavelets coherence

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Published Date

2023

Language

English

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Faculty

Technology, Policy and Management

Department

Values Technology and Innovation

Research Group

Economics of Technology and Innovation

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.

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