Research in International Business and Finance,
Journal Year:
2024,
Volume and Issue:
70, P. 102405 - 102405
Published: May 27, 2024
Decentralized
finance
(DeFi)
has
become
of
significant
interest
for
investors
in
both
the
financial
and
digital
sectors.
We
use
a
time-varying
parameter
vector
autoregression
(TVP-VAR)
approach
to
estimate
static
dynamic
connections
between
within
DeFi,
G7
banking,
equity
markets.
focus
on
critical
events
such
as
COVID-19
pandemic,
cryptocurrency
bubble,
Russia-Ukraine
conflict.
The
results
highlight
interconnectedness
spillovers
markets,
especially
during
pandemic.
Notably,
there
were
spillover
effects
from
banking
markets
Japan
DeFi
assets.
findings
demonstrate
robust
connection
platforms,
stock
throughout
these
tumultuous
periods.
Policymakers,
investors,
entrepreneurs
are
recommended
keep
close
eye
changes
traditional
adjust
risk
Energy Economics,
Journal Year:
2023,
Volume and Issue:
125, P. 106829 - 106829
Published: July 7, 2023
Using
a
TVP-VAR
analytical
framework,
this
study
explores
the
change
and
persistence
of
dynamic
connectedness
international
energy
carbon
credit
markets.
The
overall
destabilising
effects
generated
by
recent
political
epidemiological
events,
subsequent
consequences
shocks
such
as
negative
WTI
pricing
event,
have
potential
to
be
disruptive
continued
growth
development
several
regional
oil
Results
are
presented
via
comprehensive
analysis
dynamics
extreme
risk
spillovers
for
particular
commodity
pairs.
In
particular,
Brent
crude
found
transmitted
significant
tail
uncertainty
other
However,
Shanghai
markets
typically
function
shock
absorbers.
remaining
energy-related
commodities
primarily
receivers.
Further,
incorporating
EGARCH-based
robustness
procedures,
tests
market
within
adds
further
validity
results.
Specifically,
results
relating
substantial
rebalancing
information
futures
EUA
merit
special
consideration,
interactions
strengthen
evidence
supporting
their
maturation
into
These
findings
particularly
interesting
policymakers
participants
who
use
products
hedge
against
diversify
fluctuations.
