Frequency connectedness between DeFi and cryptocurrency markets
In: The quarterly review of economics and finance, Volume 93, p. 12-27
ISSN: 1062-9769
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In: The quarterly review of economics and finance, Volume 93, p. 12-27
ISSN: 1062-9769
In: Economic Analysis and Policy, Volume 69, p. 208-224
In: Sosyal Bilimler Dergisi, Volume 23, Issue 1, p. 29-50
ISSN: 2667-8683
This study examines the time-varying connectedness among the realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement the time and frequency connectedness time-varying parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) the COVID-19 pandemic significantly affected the dynamic connectedness; (ii) the total connectedness index hits its apex around the official announcement of the pandemic; (iii) in line with previous studies Ethereum, Bitcoin, and Link are the largest propagators/recipients of shocks; (iv) the tightest volatility interdependencies are related to the short-run.
In: CESifo Working Paper No. 7756
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In: FINANA-D-23-01470
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In: Bulletin of Economic Research, Volume 71, Issue 4, p. 585-598
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In: FRL-D-23-00503
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In: Bulletin of economic research, Volume 71, Issue 4, p. 585-598
ISSN: 1467-8586
AbstractIn this study, we analyse systemic risk contagion between a set of most actively traded currencies (EURO, JPY, GBP, AUD, CAD and CHF) by application of VAR based frequency connectedness proposed by Baruník and Křehlík. By using this novel approach, we gauge foreign exchange (FX) market connectedness in 200‐day frequency band using spectral representation of variance decompositions of VAR and identify directional spillovers between the most actively traded foreign exchange rates. Dynamics of the overall spillover index reveals that the index capture well‐known financial stress incidents properly. Finally, network topology of directional spillovers between currency pairs is provided for visulalization interconnectedness between them.
In: JRPO-D-22-01101
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In: CAMA Working Paper No. 81/2020
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Working paper
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Volume 71, Issue 1, p. 132-143
ISSN: 1467-9485
AbstractThis paper investigates the geopolitical risk spillovers among BRICS countries during the 1985–2022 period. We adopt the novel quantile frequency connectedness approach, which allows us to examine the risk transmission by frequency and quantile. The geopolitical risks spread more intensely among BRICS countries during extreme circumstances. The long‐term geopolitical risk spillovers are the main contributors to the overall spillovers. Additionally, we note that significant increases in spillovers are associated with remarkable political events. Russia is the most dominant country and the largest short‐term and long‐term geopolitical risk transmitter to other BRICS members during the research period.
In: USAEE Working Paper No. 20-471
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Working paper
In: IREF-D-23-01103
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In: The quarterly review of economics and finance, Volume 93, p. 71-90
ISSN: 1062-9769