Dynamic spillover analysis between FX and cryptocurrency markets across different market conditions: A quantile VAR approach

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-07-28 DOI:10.1016/j.najef.2025.102503

Young-Sung Kim , Dong-Jun Kim , Sun-Yong Choi

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引用次数: 0

Abstract

This study analyzes the relationship between foreign exchange (FX) markets and cryptocurrencies, focusing on both major and minor currencies. Using a quantile spillover framework, we examine how this relationship evolves under varying market conditions. The empirical findings reveal three key insights. First, spillover effects between the FX and cryptocurrency markets play a significant role in shaping their interrelationship. Under normal market conditions, the FX market has a limited influence on cryptocurrencies. Second, within the FX market, the U.S. Dollar Index exerts the most substantial impact on both major and minor currencies, while in the cryptocurrency market, Bitcoin holds the biggest influence over other cryptocurrencies. Finally, as market conditions become more extreme, spillover effects between the FX and cryptocurrency markets intensify. These findings highlight the dynamic nature of cross-market interactions and underscore the importance of considering market conditions when evaluating spillover effects between FX and cryptocurrency markets.

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外汇和加密货币市场在不同市场条件下的动态溢出分析：分位数VAR方法

本研究分析了外汇（FX）市场与加密货币之间的关系，重点关注主要货币和次要货币。使用分位数溢出框架，我们研究了这种关系在不同市场条件下的演变。实证研究结果揭示了三个关键洞见。首先，外汇和加密货币市场之间的溢出效应在塑造它们之间的相互关系方面发挥着重要作用。在正常的市场条件下，外汇市场对加密货币的影响有限。其次，在外汇市场中，美元指数对主要货币和次要货币的影响最大，而在加密货币市场中，比特币对其他加密货币的影响最大。最后，随着市场条件变得更加极端，外汇和加密货币市场之间的溢出效应会加剧。这些发现突出了跨市场互动的动态性，并强调了在评估外汇和加密货币市场之间的溢出效应时考虑市场状况的重要性。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.