Asymmetric quantile dependence between cryptocurrencies and climate policy uncertainty: evidence from cross-quantilogram

Asima Siddique and Saqib Gulzar

EconomiA, 2025, vol. 27, issue 2, 194-206

Abstract: PurposeThis study aims to explore the asymmetric effects of cryptocurrencies returns on climate policy uncertainty (CPU). We also wanted to explore cryptocurrencies’ safe-haven and hedging properties to mitigate the climate risk during the financial turmoil period.Design/methodology/approachThe study uses the monthly time series data of the CPU index and five major cryptocurrencies’ data from July 2015 to September 2023. The study applied cross-quantilogram (CQ) to assess the asymmetric quantile based dependence between the CPU index and cryptocurrencies. The CQ results confirm the non-linear quantile based dependence between cryptocurrencies and the CPU index.FindingsThe finding of the heatmap reveals that Bitcoin and Tether are strong safe havens, while Ripple served as a weak safe haven for the CPU index during the bearish quantile (0.05). Dogecoin and Ethereum have a strong dependence with the CPU during the different quantiles. Lastly, the non-linear Granger confirms the asymmetric role of cryptocurrencies in causing CPU.Practical implicationsOur study findings provide useful insights for market investors and policymakers. Policymakers can focus on developing a policy to limit CO2 emissions during cryptocurrencies mining because, during the high CPU period, investors can save their investments by investing in cryptocurrencies.Originality/valueThe present paper has a number of unique contributions in the literature. Firstly, our study is the first to investigate the asymmetric quantile dependence between cryptocurrencies and CPU during the bullish bearish and normal period. The study also investigated the hedging and safe-haven properties of cryptocurrencies to manage climate risk.

Keywords: Climate policy uncertainty (CPU); Cross-quantilogram; Cryptocurrencies; Financial turmoil period (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eme:econpp:econ-12-2023-0208

DOI: 10.1108/ECON-12-2023-0208

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