Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position

被引：115

作者：

Corbet, Shaen ^{[1
]}

Larkin, Charles ^{[2
,3
]}

Lucey, Brian ^{[2
,4
,5
]}

Meegan, Andrew ^{[1
]}

Yarovaya, Larisa ^{[6
]}

机构：

[1] Dublin City Univ, DCU Business Sch, Dublin 9, Ireland

[2] Trinity Coll Dublin, Trinity Business Sch, Dublin 2, Ireland

[3] Univ Bath, Inst Policy Res, Bath, Avon, England

[4] Univ Sydney, Business Sch, Sydney, NSW, Australia

[5] Univ Econ Ho Chi Minh City, Inst Business Res, 59C Nguyen Dinh Chieu,Ward 6,Dist 3, Ho Chi Minh City, Vietnam

[6] Univ Southampton, Southampton Business Sch, Southampton SO17 1BJ, Hants, England

来源：

JOURNAL OF FINANCIAL STABILITY | 2020年 / 46卷

关键词：

Cryptocurrencies; Digital assets; GARCH; Volatility spillovers; Monetary policy; MONETARY-POLICY; BITCOIN; VOLATILITY; CONTAGION; INEFFICIENCY; ECONOMICS; DYNAMICS; BUBBLES; CRISIS; BOOMS;

D O I：

10.1016/j.jfs.2019.100706

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the response of a broad set of digital assets to US Federal Fund interest rate and quantitative easing announcements, specifically examining associated volatility spillover and feedback effects. We classify each digital asset into one of three categories: Currencies; Protocols; and Decentralised Applications (dApps). Currency-based digital assets experience idiosyncratic spillovers in the period immediately after US monetary policy announcements, while application or protocol-based digital assets are largely immune to policy volatility spillover and feedback. Mineable digital assets are found to be more susceptible to monetary policy volatility spillovers and feedback than non-mineable. Responses indicate a diverse market within which, not all assets are comparable to Bitcoin. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：13

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