Quantile and Frequency Connectedness Between Cryptocurrencies, Tokenized Gold, and Energy Assets: Evidence from a Multi-Layer Spillover Framework

Abstract

This paper investigates the dynamic spillover structure among heterogeneous asset classes, Bitcoin, gold, tokenized gold (DGX and PAXG), and energy commodities (WTI and gas), using a unified quantile and frequency-domain connectedness framework. Based on daily data from November 1, 2023, to March 31, 2025, our analysis captures nonlinear, regime-dependent, and time-frequency-specific transmission channels that conventional models often overlook. The results reveal that systemic connectedness intensifies sharply during tail market events, with gold and PAXG consistently emerging as dominant net transmitters of shocks, particularly under bullish regimes. In contrast, WTI, gas, and Bitcoin generally act as net receivers, with their exposure highly contingent on market conditions. Frequency decomposition shows that short-term spillovers overwhelmingly dominate system-wide risk transmission, although long-term dependencies strengthen during periods of elevated uncertainty—most notably in early 2025 amid trade policy tensions. These findings highlight the importance of high-frequency monitoring, regime-aware diversification, and the evolving systemic role of tokenized commodities in modern financial networks.