Crypto‐Climate Dynamics: Unveiling the Link Between Environmental Attention and Market Uncertainties Through Time‐Frequency Quantile Analysis

ABSTRACT This paper explores the relationship between the Cryptocurrency Environment Attention Index (ICEA) and the level of uncertainty in the cryptocurrency market, including cryptocurrency price uncertainty and cryptocurrency policy uncertainty. We apply the wavelet coherence method, the novel quantile coherency technique introduced by Baruník and Kley, and a quantile‐on‐quantile regression analysis to a sample of data ranging from 2 January 2014 to 30 December 2022. Findings indicate that, in the near term, ICEA can exacerbate uncertainty in the cryptocurrency market due to news events and social media discourse concerning environmental issues associated with cryptocurrencies. In the medium run, pricing and policy uncertainties in the cryptocurrency market may attract public scrutiny about environmental concerns, resulting in regulatory discussions and modifications. The findings indicate that the correlation between environmental concerns over cryptocurrencies and uncertainties in the crypto market demonstrates a more consistent and enduring trend over the long run. Our analysis uncovers dynamic and asymmetric bidirectional effects between ICEA and cryptocurrency uncertainty indices, particularly pronounced during bullish market regimes, a dimension not previously explored in the literature. Methodologically, our choice to employ wavelet coherence, quantile coherency and quantile‐on‐quantile regression is deliberate. Unlike traditional cointegration or linear approaches, which can only reveal average or long‐term equilibrium relationships, these frequency‐ and quantile‐based tools capture the asymmetric, time‐varying and tail‐dependent co‐movements between ICEA and cryptocurrency uncertainty. This methodological design is thus directly aligned with the volatile and non‐linear nature of cryptocurrency markets, where extreme events and regime shifts are central features.