Higher moments interaction between the US treasury yields, energy assets, and green cryptos: Dynamic analysis with portfolio implications

IF 13.6 2区 经济学 Q1 ECONOMICS
Najaf Iqbal , Zaghum Umar , Zhang Shaoyong , Tatiana Sokolova
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引用次数: 0

Abstract

We examine how the US treasury yields are connected with traditional energy and green cryptocurrencies in higher moments. For this purpose, we first compute the US treasury yield curve's Level, Slope, and Curvature based on different maturities from October 2017 to December 2023 and then apply the TVP-VAR model on return, volatility, Skewness, and Kurtosis measures. We find that returns are the most connected compared with the higher moments. The dynamic connectedness represents distinct spikes in each moment's case, sharing patterns during the 2017 crypto rally, the COVID-19 outburst in 2020, and the Russia-Ukraine war eruption in 2022. Despite being the leading shock transmitters, green cryptocurrencies share weak connections in the higher moments, making them suitable diversifiers in turbulent times. We also compute minimum variance, minimum connectedness, and minimum correlation portfolios and their hedging effectiveness. Green cryptos significantly reduce variance in traditional energy portfolios, which is evident from their high hedging effectiveness. The connectedness patterns support the Global Financial Cycle Hypothesis, showing integration in extreme market conditions, partly affected by the US treasury yields. We discuss the important implications of these findings for portfolio managers and policymakers.
美国国债收益率、能源资产和绿色加密货币之间的高时刻相互作用:具有投资组合影响的动态分析
我们研究了美国国债收益率与传统能源和绿色加密货币在较高时刻的关系。为此,我们首先计算了2017年10月至2023年12月期间不同期限的美国国债收益率曲线的水平、斜率和曲率,然后将tpv - var模型应用于收益、波动率、偏度和峰度度量。我们发现,与更高的时刻相比,回报是最相关的。动态连通性代表了每个时刻的不同峰值,包括2017年加密货币上涨、2020年COVID-19爆发和2022年俄罗斯-乌克兰战争爆发期间的共享模式。尽管绿色加密货币是主要的冲击发射器,但在较高的时刻,它们之间的联系很弱,这使它们在动荡时期成为合适的多元化投资工具。我们还计算了最小方差、最小连通性和最小相关性投资组合及其对冲效果。绿色加密货币显著降低了传统能源投资组合的差异,这从它们的高对冲有效性中可以看出。这种连通性模式支持“全球金融周期假说”(Global Financial Cycle Hypothesis),显示出在极端市场条件下(部分受美国国债收益率影响)的一体化。我们讨论了这些发现对投资组合经理和政策制定者的重要意义。
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来源期刊
Energy Economics
Energy Economics ECONOMICS-
CiteScore
18.60
自引率
12.50%
发文量
524
期刊介绍: Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.
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