Abstract
We study the dynamic connectedness between green bonds and the cryptocurrency environmental attention index (ICEA), using the TVP-VAR methodology. The spillovers increase with the level of environmental attention, suggesting cross-market activism by green investors. Denmark, the Euro area, Hong Kong, Australia, and the US are the source of spillovers, while Japan, the UK, and Switzerland are major recipients. The return spillovers exceed volatility spillovers and rise in strength during COVID-19 and the geopolitics-induced military hostilities in Ukraine. Several imperative implications of the findings are notable for policymakers, market participants, and practitioners.
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