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.

中文翻译：

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美国国债收益率、能源资产和绿色加密货币之间的更高时刻交互作用：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在上涨时刻如何与传统能源和绿色加密货币相关联。为此，我们首先根据 2017 年 10 月至 2023 年 12 月的不同期限计算美国国债收益率曲线的水平、斜率和曲率，然后将 TVP-VAR 模型应用于回报、波动率、偏度和峰度指标。我们发现，与较高的时刻相比，返回的关联性最强。动态关联性代表了每个时刻的不同峰值，在 2017 年加密货币反弹、2020 年 COVID-19 爆发和 2022 年俄乌战争爆发期间共享模式。尽管是领先的冲击发射器，但绿色加密货币在高涨时刻的联系较弱，使其成为动荡时期合适的多元化工具。我们还计算最小方差、最小关联性和最小相关性投资组合及其对冲有效性。绿色加密货币显着减少了传统能源投资组合的方差，这从其高对冲效率中可以看出。关联性模式支持全球金融周期假说，该假说表明在极端市场条件下的整合，部分受到美国国债收益率的影响。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影响。