Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertaintyDuan, K., Zhao, Y., Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 and Huang, Y. (2023) Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty. Energy Economics, 127 (Part A). 107079. ISSN 1873-6181
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1016/j.eneco.2023.107079 Abstract/SummaryThis paper analyses time-varying networks of clean and dirty cryptocurrencies with green and traditional assets through a dynamic connectedness approach established by the time-varying parameter vector autoregressive (TVP-VAR) model. The underlying asymmetry of the dynamic pairwise connectedness when facing uncertainty shocks is further studied through a non-parametric quantile causality method. Our results demonstrate a limited information transmission of volatility from cryptocurrencies to both traditional and green assets, while the connection of clean cryptocurrencies (CI) with the financial system is even weaker compared to that of dirty cryptocurrencies (DI), especially after the COVID-19 pandemic. In contrast, connection within the financial system is found to be relatively closer. Moreover, causal relationships between economic policy uncertainty (EPU) and cryptocurrency-financial asset linkages are generally enhanced after the pandemic onset, while such the causality of uncertainty with DI related asset linkages tends to be even stronger. Most of the above causalities are shown to be negligible during market depression, further implying the sheltering role of the market linkages against uncertainty.
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