New Evidence on Spillovers Between Crypto Assets and Financial Markets
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Summary:
We analyze returns and volatility spillovers among a representative set of crypto and financial assets. The magnitude of spillovers increases during periods of heightened turbulence due to negative economic-financial news, crypto market events, or exogenous shocks. There is evidence of increasing spillovers over time, with a peak during the COVID-19 pandemic, implying growing interdependence. Crypto assets predominantly transmit spillovers to financial markets, though reversals occur during periods of financial stress. The increased correlation during risk-off episodes suggests that crypto assets could serve as important conduits for financial market shocks, generating financial stability risks.
Series:
Working Paper No. 2023/213
Subject:
COVID-19 Financial markets Financial sector policy and analysis Health Securities markets Spillovers Stock markets
Frequency:
regular
English
Publication Date:
September 29, 2023
ISBN/ISSN:
9798400256622/1018-5941
Stock No:
WPIEA2023213
Format:
Paper
Pages:
62
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