Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach

We investigate the interconnectedness between the US electricity market and cryptocurrency, NFTs, and DeFi markets, while considering the conditioning effect of uncertainty factors. We employ an R2 connectedness approach to analyze the shock transmission mechanism and results reveal significant connectedness among these markets with varying degrees of asymmetry in return spillovers. Notably, the US electricity market acts as a receiver of shocks. Further, global uncertainty factors positively influence interconnectedness. Findings provide valuable insights for policymakers and market participants to manage risks and promote a sustainable and resilient ecosystem between the blockchain and electricity markets.