Cryptocurrency is a financial innovation that brings many potential benefits, yet it has been criticized for its negative environmental impacts. To fully reap the benefits from this financial innovation, it is important to understand its relationship with low- and high‑carbon-intensive financial assets. This paper investigates the time-varying and asymmetric spillovers among cryptocurrency, green and fossil fuel investments. Using a time-varying-parameter network connectedness model, we find that the spillovers among cryptocurrency, green and fossil fuel assets vary over time and that they are more pronounced during crisis periods. Our results also reveal asymmetric spillovers among these assets, where negative return spillovers are larger than positive return spillovers. In addition, we explore the influence of macroeconomic factors and uncertainty measures on the spillovers across cryptocurrency, green and fossil fuel investments. We conclude our paper by discussing the implications of our results for environmentally conscious policymakers and investors.

加密货币是一种金融创新，可以带来许多潜在的好处，但因其对环境的负面影响而受到批评。为了充分从这种金融创新中获益，了解其与低碳和高碳密集型金融资产的关系非常重要。本文研究了加密货币、绿色和化石燃料投资之间的时变和不对称溢出效应。使用时变参数网络连通性模型，我们发现加密货币、绿色和化石燃料资产之间的溢出效应随着时间的推移而变化，并且在危机时期更为明显。我们的结果还揭示了这些资产之间的不对称溢出效应，其中负回报溢出效应大于正回报溢出效应。此外，我们探讨了宏观经济因素和不确定性措施对加密货币、绿色和化石燃料投资溢出效应的影响。我们通过讨论我们的结果对具有环保意识的政策制定者和投资者的影响来结束我们的论文。