Cryptocurrencies under climate shocks: a dynamic network analysis of extreme risk spillovers

IF 6.9 1区经济学 Q1 BUSINESS, FINANCE

Financial Innovation Pub Date : 2024-09-12 DOI:10.1186/s40854-023-00579-y

Kun Guo, Yuxin Kang, Qiang Ji, Dayong Zhang

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引用次数: 0

Abstract

Systematic risks in cryptocurrency markets have recently increased and have been gaining a rising number of connections with economics and financial markets; however, in this area, climate shocks could be a new kind of impact factor. In this paper, a spillover network based on a time-varying parametric-vector autoregressive (TVP-VAR) model is constructed to measure overall cryptocurrency market extreme risks. Based on this, a second spillover network is proposed to assess the intensity of risk spillovers between extreme risks of cryptocurrency markets and uncertainties in climate conditions, economic policy, and global financial markets. The results show that extreme risks in cryptocurrency markets are highly sensitive to climate shocks, whereas uncertainties in the global financial market are the main transmitters. Dynamically, each spillover network is highly sensitive to emergent global extreme events, with a surge in overall risk exposure and risk spillovers between submarkets. Full consideration of overall market connectivity, including climate shocks, will provide a solid foundation for risk management in cryptocurrency markets.

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气候冲击下的加密货币：极端风险溢出的动态网络分析

近来，加密货币市场的系统性风险不断增加，与经济学和金融市场的联系也日益密切；然而，在这一领域，气候冲击可能是一种新的影响因素。本文构建了一个基于时变参数-向量自回归（TVP-VAR）模型的溢出网络，以衡量整个加密货币市场的极端风险。在此基础上，提出了第二个溢出网络，以评估加密货币市场极端风险与气候条件、经济政策和全球金融市场不确定性之间的风险溢出强度。结果表明，加密货币市场的极端风险对气候冲击高度敏感，而全球金融市场的不确定性则是主要的传播者。从动态上看，每个溢出网络都对新出现的全球极端事件高度敏感，总体风险敞口和子市场之间的风险溢出都会激增。充分考虑包括气候冲击在内的整体市场连通性，将为加密货币市场的风险管理奠定坚实的基础。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Innovation Economics, Econometrics and Finance-Finance

CiteScore

11.40

自引率

11.90%

发文量

审稿时长

5 weeks

期刊介绍： Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.