Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts

Abstract

Our article employs a quantile vector autoregression (QVAR) to identify the connectedness of seven variables from April 1, 2019, to June 13, 2022, in order to examine the relationships between crypto volatility and energy volatility. Our findings reveal that the dynamic connectedness is approximately 25% in the short term and approximately 9% in the long term. The 50% quantile equates to the overall average connectedness of the entire period, according to dynamic net total directional connectedness over a quantile, which also indicates that connectedness is very intense for both highly positive changes (above the 80% quantile) and crypto and energy volatility (below the 20% quantile). With the exception of the early 2022 period when the Crypto Volatility Index transmits a net of shocks because of the Ukraine-Russia Conflict, dynamic net total directional connectedness implies that in the short term, the Crypto Volatility Index acts as a net shock receiver across time. While this indicator is a net shock receiver for long-term dynamics, wind energy is a net shock transmitter during the short term. Green bonds are a short-term net shock receiver. This role is valid in the long term. Clean energy and solar energy are the long-term net transmitters of shocks; nevertheless, the series is always and only momentarily a net receiver of shocks because of the short-term dynamics. Natural gas and crude oil play roles in both two quantiles. Dynamic net pairwise directional connectedness over a quantile suggests that uncertain events like the COVID-19 epidemic or Ukraine-Russia Conflict influence cryptocurrency volatility and renewable energy volatility.