Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty
通过动态连接性方法分析清洁与肮脏加密货币与绿色及传统资产之间的时变网络，发现加密货币向资产的波动传递有限，且清洁加密货币与金融系统的连接更弱，经济政策不确定性在疫情后增强了这种因果关系。
This 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.