Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks

【Author】 Yousaf, Imran; Goodell, John W.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine the connectedness between CBDC uncertainty, cryptocurrency policy uncertainty (UCRY policy), cryptocurrency price uncertainty (UCRY price), and digital payment stock returns and volatility using data from November 20, 2015, to December 30, 2022. We find CBDC un-certainty is a net recipient, while UCRY policy and UCRY price are net transmitters. Most digital payment stocks are net recipients except for the three largest of VISA, Mastercard, and American Express. Finally, net pairwise connectedness shows weak connectedness between uncertainties indices and digital payment stocks, consistent with the hedging capability of digital payment stocks against the uncertainties of CBDC and cryptocurrency markets.

【Keywords】CBDC uncertainty; UCRY policy; UCRY price; Digital payment stocks; Spillover

【发表时间】2023 JUN

【收录时间】2023-06-10

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