Work

Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies

Year: 2022

Type: article

Abstract: This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing risk spillovers from Bitcoin to currencies, we find that Bitcoin exercises significant power over most currencies, with the South African rand and Brazilian real holding both the highest downside and upside risk before and during the COVID-19 pandemic period, respectively. When considering risk spillovers from currencies towards Bitcoin, the Japanese yen exhibits the highest downside spillovers. Importantly, we find asymmetric spillovers between extreme upward and downward movements.

Source: Emerging Markets Review

DOI: 10.1016/j.ememar.2022.100966

Authors: Mobeen Ur Rehman, Paraskevi Katsiampa, Rami Zeitun, Xuan Vinh Vo

Institutions: South Ural State University, University of Economics Ho Chi Minh City, Viện Nghiên cứu kinh doanh, University of Sheffield, Qatar University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,850

Funder: Đại học Kinh tế Thành phố Hồ Chí Minh