Quantile connectedness between the climate policy and economic uncertainty: Evidence from the G7 countries.

In this study, we investigate the transmission mechanism between climate policy uncertainty (CPU) and economic policy uncertainty (EPU) in the G7 countries. To account for different conditions, we use a quantile-based VAR (Q-VAR) model over the period between 2000 and 2021. Our results show high connectedness between the CPU and the EPU of G7 countries, particularly at extreme quantile orders.

COVID-19 and information flow between cryptocurrencies, and conventional financial assets.

In this paper, we analyze the impact of the ongoing COVID-19 pandemic on the information flow among the main cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin) and those of the fear index (VIX), Gold price, and the US equity market (S&P500). We use the transfer entropy measure to determine the information flow by allowing for nonlinear dynamics and extreme tail values in the series. Our results indicate that information flow and sharing have changed during the COVID-19 pandemic with the following main findings: i) cryptocurrencies show more correlation with VIX, Gold, and the US equity markets during the COVID-19 period; ii) Gold and VIX maintain their position as safe hedging tools against the pandemic; iii) during COVID-19, S&P500 is the dominant flow transmitter to the four cryptocurrencies, and iv) Ripple plays the dominant role of information flow to VIX, Gold, and S&P500.

COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies.

This study examines the role of the top-5 cryptocurrencies and gold as a hedge and safe haven against the economic policy uncertainty (EPU) before and during the ongoing COVID-19 crisis. We use the GARCH model for the main analysis and a safe haven index (SHI) for robustness. Our findings show that gold and cryptocurrencies cannot act as a strong hedge or safe haven against EPU before and during the COVID-19 pandemic.

Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR) model for daily data over the period spanning from 01/01/2015 to 05/18/2020. Results showed that stock markets were highly connected during the entire period, but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020. Moreover, we found that the European stock markets (except Italy) transmitted more spillovers to all other stock markets than they received, primarily during the COVID-19 outbreak.