Spillovers between cryptocurrencies and financial markets in a global framework

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2024-11-12 DOI:10.1016/j.jimonfin.2024.103235

Darko B. Vuković , Michael Frömmel , Samuel A. Vigne , Vyacheslav Zinovev

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引用次数: 0

Abstract

We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.

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全球框架下加密货币与金融市场之间的溢出效应

我们采用贝叶斯全球向量自回归（BGVAR）模型来研究源于加密货币市场的不利冲击向全球金融市场的传导。分析表明，这些溢出效应并不局限于特定的国家群体，而是具有全球性。结果表明，源自加密货币市场的冲击会对股票市场、债券指数、汇率和波动率指数产生不利影响。这些冲击通常幅度不大，持续时间较短，但表明加密货币是短期负面冲击的媒介。这项研究还强调了这些冲击在不同金融市场和国家的异质性，突出了对加密货币市场波动的不同敏感性和反应。重要的是，据我们所知，这项研究是 GVAR 模型在加密货币市场背景下的首次应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.