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AuthorMobeen Ur, Rehman
AuthorKatsiampa, Paraskevi
AuthorZeitun, Rami
AuthorVo, Xuan Vinh
Available date2023-09-10T09:54:52Z
Publication Date2023-06-30
Publication NameEmerging Markets Review
Identifierhttp://dx.doi.org/10.1016/j.ememar.2022.100966
CitationRehman, M. U., Katsiampa, P., Zeitun, R., & Vo, X. V. (2023). Conditional dependence structure and risk spillovers between bitcoin and fiat currencies. Emerging Markets Review, 55, 100966.
ISSN1566-0141
URIhttps://www.sciencedirect.com/science/article/pii/S1566014122000838
URIhttp://hdl.handle.net/10576/47351
AbstractThis 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.
SponsorThis research is partly funded by the University of Economics Ho Chi Minh City , Vietnam.
Languageen
PublisherElsevier
SubjectBitcoin
Exchange rates
Dependence structure
Risk spillovers
Copula
Delta CoVaR
TitleConditional dependence structure and risk spillovers between Bitcoin and fiat currencies
TypeArticle
Volume Number55
Open Access user License http://creativecommons.org/licenses/by-nc-nd/4.0/
ESSN1873-6173
dc.accessType Full Text


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