Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI:10.1016/j.mulfin.2020.100666

Rahma Chemkha , Ahmed BenSaïda , Ahmed Ghorbel

引用次数: 22

Abstract

This paper examines the connectedness between cryptocurrencies and major fiat currencies in a multivariate framework using vine copulas. One of the advantages of this method is the flexibility in the choice of distributions used to model complex dependencies. The results show that the dependence, measured conditionally or unconditionally, is positive and higher for the pairs of the same market than those across markets. Moreover, a low significant dependency is found between cryptocurrencies and the main conventional currencies. Based on the Value-at-Risk (VaR) and expected shortfall (ES) analyses, vine copulas produce accurate risk measures by adding cryptocurrencies to a portfolio of fiat currencies.

查看原文本刊更多论文

加密货币与外汇市场之间的连通性:对风险管理的影响

本文使用vine copulas在多元框架中研究了加密货币与主要法定货币之间的连通性。这种方法的优点之一是可以灵活地选择用于建模复杂依赖关系的发行版。结果表明，无论有条件地还是无条件地衡量，同一市场对的相关性都是正的，且高于跨市场对的相关性。此外，加密货币与主要传统货币之间存在较低的显着依赖性。基于风险价值(VaR)和预期缺口(ES)分析，vine copulas通过将加密货币添加到法定货币组合中来产生准确的风险度量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.