{"title":"加密货币市场的危机和传染","authors":"Bhavesh Garg, Karan Rai, Rishabh Pachoriya, Manik Thappa","doi":"10.59091/1410-8046.2054","DOIUrl":null,"url":null,"abstract":"The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings","PeriodicalId":371782,"journal":{"name":"Bulletin of Monetary Economics and Banking","volume":"14 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"CRISIS AND CONTAGION IN\\nCRYPTOCURRENCY MARKET\",\"authors\":\"Bhavesh Garg, Karan Rai, Rishabh Pachoriya, Manik Thappa\",\"doi\":\"10.59091/1410-8046.2054\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings\",\"PeriodicalId\":371782,\"journal\":{\"name\":\"Bulletin of Monetary Economics and Banking\",\"volume\":\"14 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-02-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Bulletin of Monetary Economics and Banking\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.59091/1410-8046.2054\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Bulletin of Monetary Economics and Banking","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.59091/1410-8046.2054","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings
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