Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/140522
Title: Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities
Author: Andrada-Félix, Julián
Fernández-Pérez, Adrián
Sosvilla Rivero, Simón, 1961-
Keywords: Moneda electrònica
Mercat financer
Anàlisi de regressió
Estimació d'un paràmetre
Electronic funds transfers
Financial market
Regression analysis
Parameter estimation
Issue Date: 2019
Publisher: Universitat de Barcelona. Facultat d'Economia i Empresa
Series/Report no: [WP E-IR19/12]
Abstract: This paper examines the volatility interconnection between the main cryptocurrencies and traditional currencies during the period of February 2014-September 2018 using both a framework proposed by Diebold and Yilmaz (2014) and the modified approach of Antonakakis and Gabauer (2017). Our results suggest that a 34.43%, of the total variance of the forecast errors is explained by shocks across the eight examined cryptocurrencies and traditional currencies, indicating that the remainder 65.57% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. When we aggregate both markets by blocks, we find that the block of traditional currencies and the block of cryptocurrencies are mostly disconnected with periods of mild net volatility spill over between both blocks. Finally, our findings suggest that financial market variables are the main drivers of total connectedness within the traditional currencies, while the cryptocurrency-specific variables are identified as the key determinant for the total connectedness within the traditional currencies and a combination of business cycles and cryptocurrency-specific variables explain the directional volatility connectedness between both blocks.
Note: Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2019/201912.pdf
It is part of: IREA – Working Papers, 2019, IR19/12
URI: http://hdl.handle.net/2445/140522
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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