Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness

13 Pages Posted: 30 Nov 2018

See all articles by George Milunovich

George Milunovich

Macquarie University - Department of Economics; Macquarie University, Macquarie Business School

Multiple version iconThere are 2 versions of this paper

Date Written: December 2018

Abstract

We investigate connectedness within and across two major groups or assets: i) five popular cryptocurrencies and ii) six major asset classes plus two commonly employed risk factors. Granger causality tests uncover six direct channels of causality from the elements of the mainstream assets/risk factors group to digital assets. There are also two statistically significant causal links going in the other direction. In order to provide some perspective on the magnitude of these linkages we estimate networks from forecast error variance decompositions. The estimated connectedness within the groups is relatively large, whereas the linkages across the two groups are small in comparison.

Suggested Citation

Milunovich, George, Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness (December 2018). Australian Economic Review, Vol. 51, Issue 4, pp. 551-563, 2018. Available at SSRN: https://ssrn.com/abstract=3293183 or http://dx.doi.org/10.1111/1467-8462.12303

George Milunovich (Contact Author)

Macquarie University - Department of Economics ( email )

Sydney NSW 2109
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

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