The Dynamic Volatility Nexus of Blue-Green Economy, Cryptocurrency and Gold Indices during Uncertain Times

Abstract

Climate change impact on the Blue-Green economy has been of great concern. Further cryptocurrency mining is impacting the economy in an adverse fashion. Moreover, impact of gold mining, extraction on Blue-Green economy and even relationship with cryptocurrency is another interesting facet. Therefore, we delved into the interconnectedness among five indices, two of which focus on the green economy (ICLN-iShares and CNRG-SandP), whereas three are on the blue economy (BJLE- BNP Paribas ESG Blue Economy ETF and PIO-Invesco Global Water ETF) and OCEN (IQ Clean Oceans ETF) alongside the traditional assets Bitcoin and gold indices. We considered between October 26, 2021, to January 5, 2024 for the study. This study highlighted some cardinal findings. First, BJLE can be used as a hedge against OCEN and PIO (all are in Blue economy). Second, excessive water usage in Bitcoin mining is detrimental to Blue-Green economy. Third, positive policy shock force spillover effect to cool down. Fourth, spillover typically increases as both economic uncertainty (US Banks collapse in 2023) and geopolitical risk (Russia-Ukraine conflict) increase. Fifth, there has been an increased responsiveness of these markets to immediate events (near-term bias). Therefore, this study would assist the policymakers and investors, especially in the Blue-Green domain.