Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
Emerging Markets Review
; : 100966, 2022.
Article
in English
| ScienceDirect | ID: covidwho-2061095
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.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Type of study:
Prognostic study
Language:
English
Journal:
Emerging Markets Review
Year:
2022
Document Type:
Article
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