Frequency connectedness among cryptocurrency environmental attention, green and black cryptocurrencies

Abstract

The development of the cryptocurrency market has been accompanied by public concern about the environmental problems caused by such assets. Based on the novel TVP-VAR frequency-domain connectedness framework, this article explores the connectivity among green/black cryptocurrencies and cryptocurrency environmental attention (ICEA) over different terms. The results show different spillover transmissions between the long-term and short-term. The short-term connectedness is stronger compared with the long-term. Additionally, the pairwise spillovers within the system are different in different durations of time. ICEA is the net recipient of internal spillover. Besides, there is a long-term net spillover from black cryptocurrencies to green cryptos. This study has potential reference value for various market participants and academia.