Time-varying causalities from the COVID-19 media coverage to the dynamic spillovers among the cryptocurrency, the clean energy, and the crude oil

Abstract

This paper aims to explore the time-varying causalities from the COVID-19 media coverage (MCI) to the dynamic spillovers among the cryptocurrency, the clean energy, and the crude oil. To achieve this goal, the dynamic spillovers among the three elements are estimated by employing the TVP-VAR extended joint connectedness approach in the first stage, while the temporal heterogeneity and persistence of causalities from MCI to the dynamic spillovers among the three elements are examined in the second stage by using the novel time-varying causality technique. We find that the dynamic spillovers among the three elements have been strengthened during the turmoil periods, i.e., the COVID-19 pandemic. Moreover, the averaged joint connectedness results show that the cryptocurrency and the clean energy seem to be the net receivers of spillovers, whereas the crude oil is the net transmitter of spillovers. However, the net spillovers roles of the three elements shift between transmitter and receiver dynamically. The causality results demonstrate that MCI has a significant causal effect on the dynamic total spillovers, the dynamic net total directional spillovers, and the dynamic net pairwise directional spillovers during certain periods. Specifically, long-lasting causal effects of MCI on the dynamic total spillovers are identified during the periods of December 2020–January 2021 and March 2021–October 2021. The causalities from MCI to the dynamic net total directional spillovers for the clean energy and the crude oil exist from September 2020 to the end of the sample period, more persistent than those for the cryptocurrency. Moreover, the causalities from MCI to the dynamic net total pairwise directional spillovers for the cryptocurrency-clean energy and the cryptocurrency-crude oil are found to be similar, which last for a shorter period than those for the clean energy-crude oil. These causal relationships can be fundamentally explained by the fact that investors' sentiments are susceptible to the COVID-19 media coverage, thus triggering changes in investors' decision-making.