Cryptocurrencies, mainstream asset classes and risk factors

A study of connectedness

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)551-563
Number of pages13
JournalThe Australian Economic Review
Volume51
Issue number4
DOIs
Publication statusPublished - Dec 2018

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