Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
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...
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| مؤلفون آخرون: | , , |
| التنسيق: | article |
| منشور في: |
2023
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://dx.doi.org/10.1016/j.ememar.2022.100966 https://www.sciencedirect.com/science/article/pii/S1566014122000838 http://hdl.handle.net/10576/47351 |
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| _version_ | 1857415087417982976 |
|---|---|
| author | Mobeen Ur, Rehman |
| author2 | Katsiampa, Paraskevi Zeitun, Rami Vo, Xuan Vinh |
| author2_role | author author author |
| author_facet | Mobeen Ur, Rehman Katsiampa, Paraskevi Zeitun, Rami Vo, Xuan Vinh |
| author_role | author |
| dc.creator.none.fl_str_mv | Mobeen Ur, Rehman Katsiampa, Paraskevi Zeitun, Rami Vo, Xuan Vinh |
| dc.date.none.fl_str_mv | 2023-09-10T09:54:52Z 2023-06-30 |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://dx.doi.org/10.1016/j.ememar.2022.100966 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. 1566-0141 https://www.sciencedirect.com/science/article/pii/S1566014122000838 http://hdl.handle.net/10576/47351 55 1873-6173 |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | Elsevier |
| dc.rights.none.fl_str_mv | http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Bitcoin Exchange rates Dependence structure Risk spillovers Copula Delta CoVaR |
| dc.title.none.fl_str_mv | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | qu_d26959e36c74261cb376ef13f5ea69a7 |
| identifier_str_mv | 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. 1566-0141 55 1873-6173 |
| language_invalid_str_mv | en |
| network_acronym_str | qu |
| network_name_str | Qatar University repository |
| oai_identifier_str | oai:qspace.qu.edu.qa:10576/47351 |
| publishDate | 2023 |
| publisher.none.fl_str_mv | Elsevier |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| spelling | Conditional dependence structure and risk spillovers between Bitcoin and fiat currenciesMobeen Ur, RehmanKatsiampa, ParaskeviZeitun, RamiVo, Xuan VinhBitcoinExchange ratesDependence structureRisk spilloversCopulaDelta CoVaRThis 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.This research is partly funded by the University of Economics Ho Chi Minh City , Vietnam.Elsevier2023-09-10T09:54:52Z2023-06-30Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://dx.doi.org/10.1016/j.ememar.2022.100966Rehman, 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, 100966.1566-0141https://www.sciencedirect.com/science/article/pii/S1566014122000838http://hdl.handle.net/10576/47351551873-6173enhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:qspace.qu.edu.qa:10576/473512025-05-29T06:40:58Z |
| spellingShingle | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies Mobeen Ur, Rehman Bitcoin Exchange rates Dependence structure Risk spillovers Copula Delta CoVaR |
| status_str | publishedVersion |
| title | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies |
| title_full | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies |
| title_fullStr | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies |
| title_full_unstemmed | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies |
| title_short | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies |
| title_sort | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies |
| topic | Bitcoin Exchange rates Dependence structure Risk spillovers Copula Delta CoVaR |
| url | http://dx.doi.org/10.1016/j.ememar.2022.100966 https://www.sciencedirect.com/science/article/pii/S1566014122000838 http://hdl.handle.net/10576/47351 |