Volatility spillover and connectedness among US renewable energy, green bonds, and cryptocurrencies

Abstract This study investigates the volatility spillover and connectedness networks among renewable energy sources (Biofuel, Fuel cell, Geothermal, Solar), green bonds, and cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin) in the U.S. market. To accomplish this objective, we analyzed data from November 15, 2017, to May 31, 2024, via the methods introduced by Diebold and Yilmaz (Int J Forecast 28:57–66, 2012) and Baruník and Křehlík (J Financ Econometr 16:271 296, 2018). Our findings reveal that major global disruptions—including the COVID-19 pandemic, the Russia–Ukraine war, the collapse of Silicon Valley Bank, and the Credit Suisse crisis—have intensified volatility spillovers and financial contagion across markets, exacerbating their outcomes. The findings suggest that the effectiveness of green finance depends on its allocation across these sectors, highlighting the importance of examining each sector to understand the success of these financial initiatives. The influence of COVID-19 on the U.S. economy has increased transmission risk across markets. Renewable energy is less volatile than green bonds and cryptocurrencies are, with these indices reacting more quickly to short-term shocks. Investors should focus on short-term impacts to manage market risk effectively. By providing insights into how financial shocks propagate across sectors, emphasizing the need for a sector-specific approach to assessing financial sustainability, and underscoring the importance of short-term risk management strategies, this research offers valuable contributions to decision-makers and investors.