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Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies

Mobeen Ur Rehman, Paraskevi Katsiampa, Rami Zeitun and Xuan Vinh Vo

Emerging Markets Review, 2023, vol. 55, issue C

Abstract: This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing risk spillovers from Bitcoin to currencies, we find that Bitcoin exercises significant power over most currencies, with the South African rand and Brazilian real holding both the highest downside and upside risk before and during the COVID-19 pandemic period, respectively. When considering risk spillovers from currencies towards Bitcoin, the Japanese yen exhibits the highest downside spillovers. Importantly, we find asymmetric spillovers between extreme upward and downward movements.

Keywords: Bitcoin; Exchange rates; Dependence structure; Risk spillovers; Copula; Delta CoVaR (search for similar items in EconPapers)
JEL-codes: C58 F31 G1 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838

DOI: 10.1016/j.ememar.2022.100966

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