Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks

Imran Yousaf and John W. Goodell

Finance Research Letters, 2023, vol. 54, issue C

Abstract: We examine the connectedness between CBDC uncertainty, cryptocurrency policy uncertainty (UCRY policy), cryptocurrency price uncertainty (UCRY price), and digital payment stock returns and volatility using data from November 20, 2015, to December 30, 2022. We find CBDC uncertainty is a net recipient, while UCRY policy and UCRY price are net transmitters. Most digital payment stocks are net recipients except for the three largest of VISA, Mastercard, and American Express. Finally, net pairwise connectedness shows weak connectedness between uncertainties indices and digital payment stocks, consistent with the hedging capability of digital payment stocks against the uncertainties of CBDC and cryptocurrency markets.

Keywords: CBDC uncertainty; UCRY policy; UCRY price; Digital payment stocks; Spillover (search for similar items in EconPapers)
JEL-codes: C43 C54 D80 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001381

DOI: 10.1016/j.frl.2023.103765

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