Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic.
Res Int Bus Finance
; : 101824, 2022 Dec 02.
Article
in English
| MEDLINE | ID: covidwho-2238476
ABSTRACT
The paper examines the dynamic spillover among traditional currencies and cryptocurrencies before and during the COVID-19 pandemic and investigates whether economic policy uncertainty (EPU) impacts this spillover. Based on the TVP-VAR approach, we find evidence of spillover effects among currencies, which increased widely during the pandemic. In addition, results suggest that almost all cryptocurrencies remain as "safe-haven" tools against market uncertainty during the COVID-19 period. Moreover, comparative analysis shows that the total connectedness for cryptocurrencies is lower than for traditional currencies during the crisis. Further analysis using quantile regression suggests that EPU exerts an impact on the total and the net spillovers with different degrees across currencies and this impact is affected by the health crisis. Our findings have important policy implications for policymakers, investors, and international traders.
Full text:
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Collection:
International databases
Database:
MEDLINE
Language:
English
Journal:
Res Int Bus Finance
Year:
2022
Document Type:
Article
Affiliation country:
J.ribaf.2022.101824
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