Directional predictability from central bank digital currency to cryptocurrencies and stablecoins

【Author】 Ayadi, Ahmed; Ghabri, Yosra; Guesmi, Khaled

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】This paper investigates the interaction and the directional predictability between the central bank digital currencies (CBDCs) and the major cryptocurrencies and stablecoins during the period between 17 May, 2019-31 December, 2021. To this aim, we employ the "Cross-Quantilogram" model, to examine how and whether the traditional digital currencies react to the CBDC uncertainty and attention shocks. Our findings suggest that CBDC uncertainty index is negatively related to cryptocurrency and stablecoin returns. Furthermore, the CBDC attention index is negatively associated with Bitcoin, Ethereum, XPR and Terra USD, however, it is positively related to Tether, Binance, USD Coin and Dai. Our results are useful for regulators, investors and policy makers, to understand and assess the potential effect of CBDC adoption news on the volatility of the stablecoins and traditional cryptos.

【Keywords】CBDC; Cryptocurrencies; Stablecoins; Directional predictability; Cross-Quantilogram model

【发表时间】2023 APR

【收录时间】2023-08-08

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析