In this study, we conduct a novel exploration of the time-frequency quantile dynamics between global crypto-currency market volatility and financial instability, using the recently introduced Cryptocurrency VIX indicator from a macro perspective. Taking into account the impact of Covid-19 and the Russian-Ukrainian war shocks, the results from the wavelet coherence analysis, the novel quantile wavelet coherency approach, and the non-parametric causality test reveal a strong dependence between the US financial stress and the volatility of the global cryptocurrency market. This dependence is likely to persist over the long-term and in extreme market conditions, but weaken in the short-term. Additionally, the study finds that while cryptocurrencies are not effective for hedging against risks associated with the banking sector and systemic risk, they can be used to hedge against stock market risk in the short term and under stable market conditions. However, the study shows a mutual transmission of financial risk between the stock market and the cryptocurrency market over the medium run. Tested against the alternative method of quantile connectedness, these findings further reaffirm their robustness.

在本研究中，我们从宏观角度使用最近推出的加密货币 VIX 指标，对全球加密货币市场波动与金融不稳定之间的时频分位数动态进行了新颖的探索。考虑到Covid-19和俄罗斯-乌克兰战争冲击的影响，小波相干分析、新颖的分位数小波相干方法和非参数因果关系检验的结果揭示了美国金融压力与美国经济之间存在很强的依赖性。全球加密货币市场的波动。这种依赖性可能会在长期和极端的市场条件下持续存在，但在短期内会减弱。此外，研究发现，虽然加密货币不能有效对冲银行业相关风险和系统性风险，但在短期和稳定的市场条件下，它们可以用来对冲股市风险。然而，研究表明，从中期来看，股票市场和加密货币市场之间会相互传递金融风险。通过对分位数连通性的替代方法进行测试，这些发现进一步证实了其稳健性。