EPISODE · Dec 10, 2024 · 8 MIN
International monetary policy and cryptocurrency markets- dynamic and spillover effects
from EEG Investiga · host School of Economics, Management and Political Science
Ahmed H. Elsayed & Ricardo M. Sousa (2024) International monetary policy and cryptocurrency markets: dynamic and spillover effects, The European Journal of Finance, 30:16, 1855-1875 The study examines the dynamic interconnections between international monetary policies (U.S., Eurozone, Japan, UK) and major cryptocurrencies (Bitcoin, Litecoin, Ripple) from August 2013 to September 2019. Using a TVP-VAR model and network analysis, it finds significant links between cryptocurrencies and between monetary policies, though spillovers between monetary policies and cryptocurrencies are limited. These interconnections intensify during periods of unconventional policies, like QE and negative rates. The results suggest cryptocurrencies offer diversification benefits for investors and highlight the need for international coordination in monetary policy. The study provides insights for both investors and policymakers in managing financial risks and opportunities.
What this episode covers
Ahmed H. Elsayed & Ricardo M. Sousa (2024) International monetary policy and cryptocurrency markets: dynamic and spillover effects, The European Journal of Finance, 30:16, 1855-1875 The study examines the dynamic interconnections between international monetary policies (U.S., Eurozone, Japan, UK) and major cryptocurrencies (Bitcoin, Litecoin, Ripple) from August 2013 to September 2019. Using a TVP-VAR model and network analysis, it finds significant links between cryptocurrencies and between monetary policies, though spillovers between monetary policies and cryptocurrencies are limited. These interconnections intensify during periods of unconventional policies, like QE and negative rates. The results suggest cryptocurrencies offer diversification benefits for investors and highlight the need for international coordination in monetary policy. The study provides insights for both investors and policymakers in managing financial risks and opportunities.
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International monetary policy and cryptocurrency markets- dynamic and spillover effects
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