Cryptocurrency Risk Spillover Matrix from Political Uncertainty Analysis

A 5.5 KB Excel dataset by Zhecheng Wang, last updated in May 2026. It contains a matrix quantifying risk spillovers between cryptocurrencies, derived from a smooth transition vector autoregressive model and wavelet packet decomposition. The data reveals asymmetrical responses of systemic risk to political uncertainty shocks across short, medium, and long-term scales.

Use Cases

• Modeling systemic risk contagion between cryptocurrencies based on the risk spillover matrix.
• Analyzing the asymmetric impact of political uncertainty on cryptocurrency risk based on the described findings.
• Identifying stable risk transmitters (e.g., Bitcoin, Ethereum) and vulnerable risk receivers (e.g., Peercoin, Namecoin) within the network.
• Studying the differential effects of political uncertainty shocks on short, medium, and long-term risk components.

Strengths

• Dataset is small (5.5 KB), facilitating quick download and inspection.
• Employs a described methodology combining wavelet packet decomposition and forecast error variance decomposition.
• Provides specific findings on the roles of individual cryptocurrencies like Bitcoin and Peercoin.

Limitations

• Row count and column-level documentation are unknown, limiting suitability assessment.
• The dataset is tiny in scale, suggesting it contains aggregated model outputs rather than raw time-series data.
• Freshness should be verified as the last update date is in the future (2026-05-28).

Provenance

Source

Zhecheng Wang via figshare.

Collection Method

Generated from a smooth transition vector autoregressive model and network topology analysis of cryptocurrency data.

Freshness

Last updated 2026-05-28 17:28:52; freshness should be verified.