绿色加密货币和化石燃料之间的动态溢出效应和投资组合影响
Zaghum Umar1, Sun-Yong Choi2, Tamara Teplova3
1College of Business, Zayed University, Abu Dhabi, United Arab Emirates.
PloS one
|August 3, 2023
概括
绿色加密货币传递金融冲击,并显示对化石燃料进行对冲的有效性. 它们的动态联系在全球危机期间加剧,影响了可持续投资策略.
科学领域:
- 环境金融 环境金融
- 数字资产数字资产
- 可持续投资 可持续投资
背景情况:
- 对环境,社会和治理 (ESG) 资产越来越感兴趣.
- 关于绿色投资与化石燃料等传统市场脱的不确定性.
- 需要了解数字ESG资产,特别是绿色加密货币的作用.
研究的目的:
- 检查化石燃料和绿色加密货币之间的动态关系.
- 评估绿色加密货币的冲击传递和对冲能力.
- 为投资者和政策制定者提供关于可持续资产整合的见解.
主要方法:
- 使用时间变量参数向量自动回归 (TVP-VAR) 溢出框架.
- 分析动态连接和冲击传输.
- 采用最低连接框架来评估对冲属性.
主要成果:
- 绿色加密货币被确定为资产系统中冲击的主要传播者.
- 在COVID-19和俄罗斯-乌克兰冲突期间,在绿色加密货币和化石燃料之间观察到越来越多的动态联系.
- 绿色加密货币在对抗化石燃料市场波动方面表现出显著的对冲效果.
结论:
- 绿色加密货币与化石燃料市场相互联系,特别是在危机期间.
- 投资者和政策制定者应该考虑绿色加密货币的对冲潜力.
- 这些发现支持推广环保资产和碳足迹监管.
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