Extreme Quantile and Network Dependence Among Stablecoins, Non-Fungible Tokens, and the New Decentralized Financial Assets
10 Pages Posted: 12 Jul 2022
Abstract
In this paper, we put the extreme quantile and network connectedness among stablecoins, NFTs, and the new DeFis to empirical scrutiny using the newly proposed methodology of Ando et al. (2022). We find that connectedness is stronger at the extreme market states than at the normal market state. Moreover, unexpected positive shocks have a higher spillover impact than the unexpected negative shocks. The network analysis further shows that the pair-wise connectedness among the assets is moderate at the median quantile, whereas the assets are more vulnerable at the extreme upper quantile and less so at the extreme lower quantile.
Keywords: Stablecoins, NFTs, DeFis, Extreme quantile dependence, Network analysis
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