Cryptocurrency Reaction to FOMC Announcements: Evidence of Heterogeneity Based on Blockchain Stack Position

27 Pages Posted: 21 Nov 2017 Last revised: 5 Nov 2019

See all articles by Shaen Corbet

Shaen Corbet

Dublin City University ; University of Waikato - Management School

Charles James Larkin

Institute for Policy Research (IPR), University of Bath; Trinity College Dublin

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance

Andrew Meegan

Dublin City University Business School

Larisa Yarovaya

University of Southampton - Southampton Business School

Date Written: November 4, 2018

Abstract

We examine the response of a broad set of digital assets to US Federal Fund interest rate and quantitative easing announcements, specifically examining associated volatility spillover and feedback effects. We classify each digital asset into one of three categories: Currencies; Protocols; and Decentralised Applications (dApps). Currency-based digital assets experience idiosyncratic spillovers in the period immediately after US monetary policy announcements, while application or protocol-based digital assets are largely immune to policy volatility spillover and feedback. Mineable digital assets are found to be more susceptible to monetary policy volatility spillovers and feedback than non-mineable. Responses indicate a diverse market within which, not all assets are comparable to Bitcoin.

Keywords: Cryptocurrencies; Digital Assets; Bitcoin; Litecoin; GARCH; Volatility Spillovers; Volatility Feedback; Monetary Policy

JEL Classification: E43; G12; L17

Suggested Citation

Corbet, Shaen and Larkin, Charles James and Lucey, Brian M. and Meegan, Andrew and Yarovaya, Larisa, Cryptocurrency Reaction to FOMC Announcements: Evidence of Heterogeneity Based on Blockchain Stack Position (November 4, 2018). Available at SSRN: https://ssrn.com/abstract=3073727 or http://dx.doi.org/10.2139/ssrn.3073727

Shaen Corbet

Dublin City University ( email )

Dublin 9
Ireland

University of Waikato - Management School ( email )

Hamilton
New Zealand

Charles James Larkin

Institute for Policy Research (IPR), University of Bath ( email )

10 West
Claverton Down
Bath, BA2 7AY
United Kingdom

Trinity College Dublin ( email )

AAP College Green
Dublin 2
Ireland

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Andrew Meegan

Dublin City University Business School ( email )

Dublin 9
Ireland

Larisa Yarovaya

University of Southampton - Southampton Business School ( email )

Highfield
University Road
Southampton, SO17 1BJ
United Kingdom

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