Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market

【Author】 Zhang, Xu; Ding, Zhijing

【Source】COMPLEXITY

【影响因子】2.121

【Abstract】Since the advent of Bitcoin, the cryptocurrency market has become an important financial market. However, due to the existence of the cryptocurrency bubble, investors face more difficulties in risk portfolios. We adopt wavelet packet decomposition, nonlinear Granger causality test, risk spillover network, and STVAR model; retain the mature research of multiscale systemic risk based on time and frequency; and thus extend systemic risk to different regimes. We found that when frequency is combined with regimes, the risk spillover center will undergo subversive changes in the long run. We also proposed that BTC will be more robust at extreme values (like longest and shortest periods), while cryptocurrencies with smaller market capitalization will be stronger in the medium term. At the same time, the recession period will also spur on it.

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【发表时间】2021 2022-06-01

【收录时间】2022-01-02

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