Quantile Domain Connectedness Between Climate Risks and Cryptocurrency Classes
気候リスクと暗号資産クラス間の分位領域連結性 (AI 翻訳)
M. Tabash, S. Issa, L. Shaheen, M. Alnahhal, Z. Mamadiyarov
🤖 gxceed AI 要約
日本語
気候転換リスクと物理的リスクが暗号資産クラスに与える影響を分位ベクトル自己回帰モデルで分析。持続可能な暗号資産は最も強靭で、ポートフォリオの中核として機能する可能性がある。
English
This study examines the transmission of climate transition and physical risks to various cryptocurrency classes using quantile vector autoregression. Results show that sustainable cryptocurrencies are more resilient, making them suitable core holdings in climate-aware portfolios.
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
日本でもTCFD開示やESG投資が進む中、気候リスクと暗号資産の関係を理解することは、機関投資家のポートフォリオ管理に有用。特にサステナブル暗号資産の強靭性は、日本の投資家が環境配慮型資産を検討する際の参考となる。
In the global GX context
With the rise of climate-related financial disclosure and sustainable finance, this paper provides empirical evidence on how climate risks affect digital assets globally. It offers insights for portfolio managers integrating climate risk into asset allocation.
👥 読者別の含意
🔬研究者:The quantile connectivity framework provides a novel methodology for analyzing nonlinear climate risk spillovers to digital assets.
🏢実務担当者:Fund managers can use the findings to rebalance portfolios toward sustainable cryptocurrencies during high climate risk periods.
📄 Abstract（原文）
This research article explores whether the climate transition risk (CTR) and climate physical risk (CPR) transmit greater shocks towards the sustainable, gold-backed, energy-related and Sharia-compliant cryptocurrencies during bullish market conditions as compared with the normal and bearish market conditions. We employ the novel quantile vector auto-regression (QVAR)-based connectivity framework. Overall findings suggested that CPR and CTR transmitted greater shocks towards cryptocurrency classes during extremely high and lower quantiles as compared with the median quantile. This U-shaped and non-linear climate risks shock transmission indicates that Sharia-compliant, energy-related and gold-backed cryptocurrencies become more vulnerable during extreme market conditions (higher and lower quantiles) and may not consistently serve as reliable hedging or diversification instruments, particularly during periods of heightened climate uncertainty. Overall findings suggested that both the CPR and CTR transmitted greater shocks towards energy-related, gold-backed, and Sharia-compliant cryptocurrencies as compared with the sustainable cryptocurrencies, across all the quantiles. Therefore, sustainable cryptocurrencies, particularly those with energy-efficient consensus mechanisms such as Stellar, Cardano and Ripple, exhibited resilience to climate risks and can therefore function as stabilizing core holdings in diversified portfolios. Fund managers should incorporate a rebalancing strategy that increases allocation to these climate-resilient, sustainable digital assets during periods of elevated climate risk. Fund managers should integrate CPR and CTR into the quantile-domain forecasting frameworks for predicting digital asset market returns to enhance financial stability. Portfolio managers should undertake dynamic and quantile-contingent climate risk hedging strategies that account for tail-risk exposure rather than relying on average market behavior.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.3390/risks14040093first seen 2026-06-29 08:44:46
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