Relationship of green cryptocurrencies, energy tokens, centralized and decentralized exchange tokens with crypto policy uncertainty

We investigate the relationship of green cryptocurrencies, energy tokens, and centralized and decentralized exchange tokens with crypto policy uncertainty. We employ a novel systematic quantile with cross-quantilogram and quantile time–frequency methodologies. Despite the astonishing popularity of new crypto classes, there are serious concerns about their centralization and their environmental consequences. This study draws a detailed picture about our chosen crypto classes by studying the role of crypto uncertainty. A noteworthy finding is that each market reacts differently against crypto policy uncertainty across different quantiles and frequencies. Specifically, our results reflect that UCRY has a significant positive association with our chosen markets in the short run across all quantiles. The higher connectedness, particularly in the short run, between UCRY and selected markets, suggests that investors should look at other investment options. For instance, CEX tokens (BNB, OKB), DEX tokens (RUNE, SNX), energy tokens (POWR, GRID), and green cryptocurrencies provide more diversification benefits against UCRY, while cryptocurrencies and tokens do not play a role as a hedge against crypto policy uncertainty in the long run. We find UCRY, MIOTA, and SNC are top receivers, while BNB, RUNE, and XRP are the major transmitters over the study period. Our study provides detailed insights to investors, regulators, and policymakers regarding the hidden dynamics as well as potential portfolio benefits of these specific markets.