Quantile time-frequency connectedness and spillovers among financial stress, cryptocurrencies and commodities

Naveed Khan, Olaoluwa Yaya, Xuan Vinh Vo and Hassan Zada

Resources Policy, 2025, vol. 103, issue C

Abstract: In this paper, we examine the volatility and time-frequency connectedness among the financial stress index (FSI), cryptocurrencies namely, Bitcoin, Ethereum, Tether, BNB, Solana, and commodities namely, Gold, Silver, Copper, Platinum, and Brent Oil, using the quantile vector autoregressive (QVAR) frequency connectedness, wavelet coherence, and hedging effectiveness techniques, for the period spanning from June 2020 to December 2023. Findings indicate that the spillover effect among FSI, cryptocurrencies, and commodities substantially varies across different volatility conditions. Also, some cryptocurrencies are net receivers of shocks during normal market conditions, while other cryptocurrencies are net transmitters during extreme market conditions. We also find that, during the bullish market, some commodities (Platinum and Brent oil) are net receivers, while other commodities are net transmitters under extreme market conditions (lower quantiles). Similarly, findings further show that, under extreme volatility conditions (higher quantiles), cryptocurrencies and commodities are net receivers of shocks, while FSI is a net transmitter during these volatility conditions. Using frequency co-movement analysis, we find strong and weak correlations between these series in the short- and long-run for shorter periods. Furthermore, findings provide important implications for policymakers and portfolio managers to pay attention to long-term dynamics and design appropriate policies that mitigate the spillover effects.

Keywords: Cryptocurrencies; Commodities; Oil; Wavelet coherence; Frequency connectedness; Financial stress index (search for similar items in EconPapers)
JEL-codes: C22 G1 G11 G12 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:103:y:2025:i:c:s0301420725000698

DOI: 10.1016/j.resourpol.2025.105527

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