Global risk factors and the time-varying connectedness between clean and dirty cryptocurrencies

IF 5.7 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2026-01-01 Epub Date: 2025-10-28 DOI:10.1016/j.bir.2025.10.020

Ramazan Yildirim , Alam Asadov , Chaker Aloui , Sami Mejri

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Abstract

This study investigates how global risk factors shape the dynamic connectedness between clean and dirty cryptocurrencies. Using daily data from November 2017 to October 2024, we construct equally and value-weighted clean-dirty correlation indexes and examine their relationship with four key stressors: economic policy uncertainty (EPU), geopolitical risk (GPR), financial market volatility (VIX), and environmental risk, proxied by the Air Quality Index (AQI). Employing a three-method framework, Multivariate Generalized Autoregressive Conditional Heteroskedasticity-Dynamic Conditional Correlation (MGARCH-DCC) for time-varying correlations, Time-Varying Parameter Vector Autoregression (TVP-VAR) for directional connectedness, and quantile-on-quantile regression for tail dependence, we reveal that correlations between clean and dirty cryptocurrencies are generally positive but have sharp fluctuations during systemic crises. VIX and GPR emerge as the dominant shock transmitters, whereas EPU plays a limited role, and AQI has asymmetric effects. These findings show that comovement between clean and dirty cryptocurrencies is regime dependent and highly sensitive to external shocks.

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全球风险因素以及清洁和肮脏加密货币之间的时变联系

这项研究调查了全球风险因素如何塑造清洁和肮脏加密货币之间的动态联系。利用2017年11月至2024年10月的日常数据，我们构建了等量加权和价值加权的清洁-肮脏相关指数，并研究了它们与四个关键压力因素的关系：经济政策不确定性（EPU）、地缘政治风险（GPR）、金融市场波动率（VIX）和环境风险（由空气质量指数（AQI）代表）。采用三种方法框架，多元广义自回归条件异方差-动态条件相关（MGARCH-DCC）用于时变相关性，时变参数向量自回归（tpv -var）用于方向性连接，分位数对分位数回归用于尾部依赖性，我们发现干净和脏加密货币之间的相关性通常是正的，但在系统危机期间会出现剧烈波动。VIX和GPR是主要的冲击传递器，EPU作用有限，AQI具有不对称效应。这些发现表明，干净和肮脏的加密货币之间的变动依赖于制度，对外部冲击高度敏感。

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

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations