Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
| Author | Mobeen Ur, Rehman |
| Author | Katsiampa, Paraskevi |
| Author | Zeitun, Rami |
| Author | Vo, Xuan Vinh |
| Available date | 2023-09-10T09:54:52Z |
| Publication Date | 2023-06-30 |
| Publication Name | Emerging Markets Review |
| Identifier | http://dx.doi.org/10.1016/j.ememar.2022.100966 |
| Citation | Rehman, 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. |
| 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. |
| Sponsor | This research is partly funded by the University of Economics Ho Chi Minh City , Vietnam. |
| Language | en |
| Publisher | Elsevier |
| Subject | Bitcoin Exchange rates Dependence structure Risk spillovers Copula Delta CoVaR |
| Type | Article |
| Volume Number | 55 |
| Open Access user License | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| ESSN | 1873-6173 |
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