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

作　　者：Kun Guo Yuxin Kang Qiang Ji Dayong Zhang 

机构地区：[1]School of Economics and Management,University of Chinese Academy of Sciences,Bejing 100190,China [2]Research Center On Fictitious Economy&Data Science,Chinese Academy of Science,Bejing100190,China [3]Sino-Danish College,University of Chinese Academy of Sciences,Bejing 100190,China [4]Institutes of Science and Development,Chinese Academy of Sciences,Beijing 100190,China [5]Research Institute of Economics and Management,Southwestern University of Finance and Economics,Chengdu 611130,China

出　　处：《Financial Innovation》2024年第1期352-390,共39页金融创新(英文)

基　　金：the support of a financial grant from the National Natural Science Foundation of China No.72348003,72022020,71974159,71974181;the Fundamental Research Funds for the Central Universities and MOE Social Science Laboratory of Digital Economic Forecasts and Policy Simulation at UCAS.

摘　　要：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.

关 键 词：Cryptocurrencies Extreme risk Climate shocks UNCERTAINTY Spillover effects 

分 类 号：F22[经济管理—国民经济]