{"title":"在风暴中航行:加密货币市场波动与金融不稳定之间的时频分位数依赖和非线性因果关系","authors":"Brahim Gaies , Najeh Chaâbane , Nesrine Bouzouita","doi":"10.1016/j.qref.2023.11.007","DOIUrl":null,"url":null,"abstract":"<div><p><span>In this study, we conduct a novel exploration of the time-frequency quantile dynamics between global crypto-currency market volatility and financial instability, using the recently introduced Cryptocurrency VIX indicator from a macro perspective. Taking into account the impact of Covid-19 and the Russian-Ukrainian war shocks, the results from the wavelet coherence analysis, the novel quantile wavelet coherency approach, and the non-parametric causality test reveal a strong dependence between the US financial stress and the volatility of the global </span>cryptocurrency market. This dependence is likely to persist over the long-term and in extreme market conditions, but weaken in the short-term. Additionally, the study finds that while cryptocurrencies are not effective for hedging against risks associated with the banking sector and systemic risk, they can be used to hedge against stock market risk in the short term and under stable market conditions. However, the study shows a mutual transmission of financial risk between the stock market and the cryptocurrency market over the medium run. Tested against the alternative method of quantile connectedness, these findings further reaffirm their robustness.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"93 ","pages":"Pages 43-70"},"PeriodicalIF":2.9000,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability\",\"authors\":\"Brahim Gaies , Najeh Chaâbane , Nesrine Bouzouita\",\"doi\":\"10.1016/j.qref.2023.11.007\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p><span>In this study, we conduct a novel exploration of the time-frequency quantile dynamics between global crypto-currency market volatility and financial instability, using the recently introduced Cryptocurrency VIX indicator from a macro perspective. Taking into account the impact of Covid-19 and the Russian-Ukrainian war shocks, the results from the wavelet coherence analysis, the novel quantile wavelet coherency approach, and the non-parametric causality test reveal a strong dependence between the US financial stress and the volatility of the global </span>cryptocurrency market. This dependence is likely to persist over the long-term and in extreme market conditions, but weaken in the short-term. Additionally, the study finds that while cryptocurrencies are not effective for hedging against risks associated with the banking sector and systemic risk, they can be used to hedge against stock market risk in the short term and under stable market conditions. However, the study shows a mutual transmission of financial risk between the stock market and the cryptocurrency market over the medium run. Tested against the alternative method of quantile connectedness, these findings further reaffirm their robustness.</p></div>\",\"PeriodicalId\":47962,\"journal\":{\"name\":\"Quarterly Review of Economics and Finance\",\"volume\":\"93 \",\"pages\":\"Pages 43-70\"},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2023-11-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quarterly Review of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062976923001345\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Review of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062976923001345","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability
In this study, we conduct a novel exploration of the time-frequency quantile dynamics between global crypto-currency market volatility and financial instability, using the recently introduced Cryptocurrency VIX indicator from a macro perspective. Taking into account the impact of Covid-19 and the Russian-Ukrainian war shocks, the results from the wavelet coherence analysis, the novel quantile wavelet coherency approach, and the non-parametric causality test reveal a strong dependence between the US financial stress and the volatility of the global cryptocurrency market. This dependence is likely to persist over the long-term and in extreme market conditions, but weaken in the short-term. Additionally, the study finds that while cryptocurrencies are not effective for hedging against risks associated with the banking sector and systemic risk, they can be used to hedge against stock market risk in the short term and under stable market conditions. However, the study shows a mutual transmission of financial risk between the stock market and the cryptocurrency market over the medium run. Tested against the alternative method of quantile connectedness, these findings further reaffirm their robustness.
期刊介绍:
The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.