Title: Spillover effects in the cryptocurrency and energy commodity markets
Authors: Marco Lorusso - University of Perugia & Newcastle University (Italy) [presenting]
Francesco Ravazzolo - Free University of Bozen-Bolzano (Italy)
Michele Costola - Ca' Foscari University of Venice (Italy)
Abstract: We measure the spillover effects in the cryptocurrency and energy commodity markets caused by shocks in returns for the sample period November 2017 - December 2022 (data at weekly frequency). We disentangle the sources of the spillover that originated from two distinct types of cryptocurrencies based on their energy consumption levels, termed as dirty and clean. We use a quantile connectedness model: this approach allows us to investigate the interaction between the variables of interest at specific quantiles. In particular, we assess whether shocks propagate differently in tails rather than at the conditional mean or median. Measuring spillovers at a given quantile allows us to describe the intensity of propagation in different (stressed and not stressed) market scenarios.