Cryptocurrency Shocks

Forthcoming in: The Manchester School

23 Pages Posted: 28 Jan 2021

See all articles by Jinan Liu

Jinan Liu

University of Calgary - Department of Economics

Sajjadur Rahman

Texas A&M University

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: December 7, 2020

Abstract

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

Liu, Jinan and Rahman, Sajjadur and Serletis, Apostolos, Cryptocurrency Shocks (December 7, 2020). Forthcoming in: The Manchester School, Available at SSRN: https://ssrn.com/abstract=3744260 or http://dx.doi.org/10.2139/ssrn.3744260

Jinan Liu

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada

Sajjadur Rahman

Texas A&M University

Langford Building A
798 Ross St.
College Station, TX 77843-3137
United States

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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