Rehman, M.U., Katsiampa, P. orcid.org/0000-0003-0477-6503, Zeitun, R. et al. (1 more author) (2023) Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. Emerging Markets Review, 55. 100966. ISSN 1566-0141
Abstract
This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing risk spillovers from Bitcoin to currencies, we find that Bitcoin exercises significant power over most currencies, with the South African rand and Brazilian real holding both the highest downside and upside risk before and during the COVID-19 pandemic period, respectively. When considering risk spillovers from currencies towards Bitcoin, the Japanese yen exhibits the highest downside spillovers. Importantly, we find asymmetric spillovers between extreme upward and downward movements.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2022 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND licence (http://creativecommons.org/licenses/by-nc-nd/4.0/). |
Keywords: | Bitcoin; Exchange rates; Dependence structure; Risk spillovers; Copula; Delta CoVaR |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 10 Nov 2022 09:53 |
Last Modified: | 25 Sep 2024 15:11 |
Status: | Published |
Publisher: | Elsevier BV |
Refereed: | Yes |
Identification Number: | 10.1016/j.ememar.2022.100966 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:193184 |