Crisis-regime spillovers’ contractedness of green and non-green cryptocurrencies and carbon market resilience under global asymmetrical disruptions
グリーンおよび非グリーン暗号資産の危機レジーム波及の収縮と、非対称な世界的混乱下での炭素市場のレジリエンス (AI 翻訳)
Ștefan Cristian Gherghina, Daniel Ștefan Armeanu, Jean Vasile Andrei, Camelia Cătălina Joldeș
🤖 gxceed AI 要約
日本語
本論文は、グリーン（環境効率的）および非グリーン（エネルギー集約型）暗号資産と炭素市場の複雑な相互連関を、COVID-19パンデミック、ロシア・ウクライナ戦争、イスラエル・ガザ紛争という3つの世界的危機において分析した。Diebold-Yilmaz波及フレームワークとマルコフレジームスイッチングモデルを用いて、時変的なボラティリティ伝達と危機固有のレジームシフトを評価した結果、パンデミック期にクロスマーケットの相互連結性が最高水準（76.68%）に達し、地政学的紛争では低下した。グリーン暗号資産の中でもALGOはストレス時に大きなボラティリティ送信源となるなど、多様なパターンが観察された。
English
This paper analyzes the complex interconnectedness between green and non-green cryptocurrencies and carbon markets during three global crises: COVID-19 pandemic, Russia-Ukraine war, and Israel-Gaza conflict. Using the Diebold-Yilmaz spillover framework and Markov regime-switching models, it finds that cross-market connectedness peaked during the pandemic at 76.68% and declined during geopolitical conflicts. Green cryptocurrencies show diverse patterns, with some like ALGO becoming significant volatility transmitters under stress. The study contributes to climate finance literature by differentiating spillover effects based on environmental classification and linking volatility transmission to climate policy dynamics.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本では、炭素価格制度（東京都・埼玉県のキャップ＆トレードなど）の拡大やESG投資の高まりを受け、炭素市場と暗号資産の関連性は投資家にとって注目される。本論文は、グリーンvs非グリーン暗号資産の分類に基づく波及効果を多危機下で示しており、日本のESGポートフォリオ構築や炭素市場の安定性評価に示唆を与える。
In the global GX context
Globally, carbon markets are central to climate policy, and the rise of crypto assets poses new challenges for market stability and ESG integration. This paper provides a multi-crisis, regime-dependent analysis of volatility spillovers between green/non-green cryptocurrencies and carbon markets, offering insights for transition-risk management and sustainable portfolio design. It extends the climate finance literature by incorporating environmental classification of crypto assets.
👥 読者別の含意
🔬研究者:Provides a multi-crisis, regime-switching spillover analysis differentiating green and non-green cryptocurrencies, offering a novel method for climate finance research.
🏢実務担当者:Helps sustainable investment teams understand how different crypto assets transmit volatility to carbon markets during crises, informing hedging and portfolio strategies.
🏛政策担当者:Highlights the need for monitoring crypto-carbon market linkages to ensure carbon market resilience, with implications for financial regulation and climate policy.
📄 Abstract（原文）
The aim of this article is to analyse the complex contractedness and interaction between environmentally efficient (green) and energy-intensive (non-green) cryptocurrencies and carbon markets during major global crises, with a focus on implications for carbon market stability and sustainable portfolio design. Based on climate finance and transition-risk perspectives, the analysis focuses on the environmental impact of digital assets and the transmission of volatility to carbon markets during periods of systemic disruption. Using daily data covering the COVID-19 pandemic, the Russia–Ukraine war, and the Israel–Gaza conflict, the research applies the Diebold–Yilmaz spillover framework within the Markov regime-switching models to assess the time-varying volatility transmission and crisis-specific regime shifts. The results show that cross-market interconnectedness reaches its highest level during the pandemic (76.68%) and declines during subsequent geopolitical conflicts, reflecting changes in global liquidity conditions, investor sentiment, and the synchronization of shocks. Green cryptocurrencies display diverse patterns: some generate lower average spillovers, while others, such as ALGO, become significant transmitters of volatility under stress. The study contributes to the emerging literature by differentiating spillover effects according to the environmental classification of crypto assets, adopting a multi-crisis and regime-dependent analytical perspective, and linking volatility transmission to climate policy dynamics and ESG-related financial mechanisms.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.1177/0958305x261435708first seen 2026-06-11 05:04:31 · last seen 2026-06-16 04:35:08
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