Asymmetric time-varying interrelatedness between clean energy metal prices and cryptocurrency environmental attention

For the development of the clean energy industry and the transformation of energy, clean energy metals are essential raw materials. They are also crucial constituents of the commodity market, attracting many cross-market investors. This research uses the asymmetric TVP-VAR framework to investigate the time-varying connectivity between cryptocurrency environmental attention (ICEA) and clean energy metals' prices. The results show that ICEA received the net spillover from clean energy metals, while clean energy metals exhibit heterogeneity. There is a difference between the spillover of positive and negative returns among series, and the connectedness of negative returns is more prominent. In addition, the series' total and net connectivity are time-varying and influenced by COVID-19. This study has certain reference values for the academia and market participants.