The linkage between Bitcoin and foreign exchanges in developed and emerging markets

【Author】 BenSaida, Ahmed

【Source】FINANCIAL INNOVATION

【影响因子】6.793

【Abstract】This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional correlation (DCC) GARCH model. Moreover, this study examines whether the Bitcoin meltdown of 2013, selloff of 2018, COVID-19 pandemic, 2021 crash, and the Russia-Ukraine conflict impact the linkage with conventional currencies. The results indicate that for both currency baskets, R-vine beats the benchmark models. Hence, the dependence is better modeled by providing sufficient information on the shock transmission path. Furthermore, the cross-market linkage slightly increases during the Bitcoin crashes, and reaches significant levels during the 2021 and 2022 crises, which may indicate the end of market isolation of the virtual currency.

【Keywords】Cryptocurrency; Fiat currency; Bitcoin crashes; Market integration

【发表时间】2023 JAN 16

【收录时间】2023-03-01

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-市场分析