Network interconnections among DeFi, NFTs, AI tokens, and renewable energy: driving factors, measurements, and portfolio implications
研究AI代币、NFT、DeFi代币与可再生能源资产间的动态交互与风险溢出，发现NFT是风险传导渠道，AI和可再生能源代币吸收风险，DeFi角色灵活，为投资组合构建和风险监管提供参考。
This study investigates the role of artificial intelligence (AI) tokens in dynamic interactions, diversification, and hedging capabilities, in relation to non-fungible tokens (NFTs), decentralised finance (DeFi) tokens, and renewable energy assets. Using the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model, we examine return, volatility, and higher-order spillovers across both time and frequency domains. The results show that NFTs serve as persistent channels for the transmission of return and volatility shocks, driven by their speculative nature. AI and renewable tokens primarily absorb systemic risk due to their lower liquidity and niche adoption. DeFi tokens play flexible roles, shifting between transmitters and receivers across market regimes. The results demonstrate asset-specific idiosyncrasies and that volatility spillovers are generally stronger than return spillovers. Frequency-domain analysis highlights that digital tokens dominate short-term spillovers, while renewable assets absorb shocks across horizons. However, higher-order moment results reveal that extreme risk linkages shift transmission channels. Our results also confirm that oil market (OVX) shocks drive short-term return connectedness, CBOE volatility (VIX) volatility, and policy uncertainty (EPU) significantly impact return linkages. The results of our portfolio analysis show that AI tokens form the core of diversification, NFTs provide short-term speculative hedging, and renewable assets, particularly solar-linked tokens, act as low-cost stabilisers, underscoring the need for active rebalancing under different market regimes. These findings provide meaningful implications for policymakers, regulators, and portfolio managers for strengthening systemic risk oversight and considering asset-specific idiosyncrasies in investment strategies.