Time-varying volatility spillovers between strategic rare earth minerals, cryptocurrencies and macroeconomic uncertainty: A TVP-VAR and time-frequency analysis

Abstract

This study uses the Diebold-Yilmaz (2012) and Baruník-Křehlík (2018) frameworks to examine time-varying volatility spillovers among five key rare earth minerals, cryptocurrencies, and macroeconomic uncertainty indexes. Our results reveal considerable cross-market spillovers (31.75% of total variance), which are short-term (29.97%, 1–4 days) in nature and over 50% during the COVID-19 pandemic. Ethereum (70.99%) and bitcoin (66.58%) emerge as predominant short-term transmitters, whereas dysprosium (31.45%) has a more long-lasting, cross-horizon effect. Macroeconomic uncertainty indices act as net recipients. This increased short-run spillover requires forward-looking macroeconomic policy and integrated risk management directed at cryptocurrency and strategic rare earths for financial stability.