The role of uncertainty in return spillovers among digital, green, and traditional financial assets: New insights from the shock of unprecedented events
结合TVP-VAR模型和边际溢出分析，研究了数字、绿色和传统金融资产在不确定性事件冲击下的动态回报溢出，发现绿色资产在疫情期间引发风险扩散，数字资产在黑客攻击、贸易摩擦和地缘冲突中增强方向性溢出，投资者情绪和地缘政治风险等是重要驱动因素。
By combining the time-varying parameter vector autoregression (TVP-VAR) model and the marginal spillover analysis, we investigate the dynamic return spillovers among digital, green, and traditional financial assets while considering the uncertainty exemplified by unprecedented events, including technical security threats, trade policy turbulences, public health emergencies, and geopolitical upheavals. Further, we disclose the impact of underlying macroeconomic and financial uncertainty factors under different market conditions using the quantile regression approach. Our empirical results illustrate that (i) the digital and green assets gradually incorporate into a risk-sharing community together with traditional assets; (ii) the direction and magnitude of spillovers are highly sensitive to uncertainty shocks, and the green assets provoke dramatic risk spreading during the COVID-19 pandemic, while the digital ones show enhancing directional spillovers during the cryptocurrency hacking, the Sino-US trade friction, and the Russia–Ukraine conflict; and (iii) investor sentiment, geopolitical risks , and trade and monetary policy uncertainties significantly drive the spillovers in turbulent periods, and the importance of cryptocurrency policy uncertainty is highlighted under all market conditions. Overall, our research provides insightful implications for risk management and policy formulation in times of uncertainty.