Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies

被引：16

作者：

Rehman, Mobeen Ur ^{[1
,2
]}

Katsiampa, Paraskevi ^{[3
]}

Zeitun, Rami ^{[4
]}

Vo, Xuan Vinh ^{[5
]}

机构：

[1] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam

[2] South Ural State Univ, 76,Lenin Prospekt, Chelyabinsk, Russia

[3] Univ Sheffield, Management Sch, Conduit Rd, Sheffield S10 1FL, England

[4] Qatar Univ, Finance & Econ, POB 2713, Doha, Qatar

[5] Univ Econ Ho Chi Minh City, Inst Business Res, CFVG, Ho Chi Minh City, Vietnam

来源：

EMERGING MARKETS REVIEW | 2023年 / 55卷

关键词：

Bitcoin; Exchange rates; Dependence structure; Risk spillovers; Copula; Delta CoVaR; EXCHANGE-RATE; SYSTEMIC RISK; STOCK-MARKET; SAFE HAVEN; OIL PRICE; COPULA; VOLATILITY; RATES; CRYPTOCURRENCIES; MEMORY;

D O I：

10.1016/j.ememar.2022.100966

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：25

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