Forthcoming in: The Manchester School
23 Pages Posted: 28 Jan 2021
Date Written: December 7, 2020
In this paper, we use a bivariate structural VAR to investigate risk spillovers from the cryptocurrency market to standard financial markets. We investigate the effects of cryptocurrency shocks on key financial markets, including the stock, bond, gold, and foreign exchange markets. The results show that cryptocurrency shocks do not have statistically significant effects on standard financial markets except for the bond market. This is consistent with most of the existing literature that argues that cryptocurrencies are mostly a new and different asset class, not related to standard factors.
Keywords: Cryptocurrency price shocks, Heteroscedasticity, VAR model
JEL Classification: G15, Q02
Suggested Citation: Suggested Citation