Correlation structure between fiat currencies and blockchain assets

Emmanuel Abakah, G M Wali Ullah, Mohammad Abdullah, Chi-Chuan Lee and Zunaidah Sulong

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: This study examines the correlation between fiat currencies of the G7 and BRICS economies and non-fungible tokens (NFTs) and decentralized finance (DeFi). We use quantile-on-quantile regression (QQR) and the rolling window wavelet correlation (RWWC) method with data spanning from September 2020 to October 2023. The findings from the QQR indicate a heterogenous relationship between currencies and digital assets. Specifically, BRICS currencies are more correlated with NFTs, whereas DeFi is correlated with almost all currencies. Further, the RWWC results reveal a time-varying negative correlation pattern between fiat currencies and NFTs and DeFi.

Keywords: Fiat currencies; NFTs; DeFi; correlation; wavelet; QQR (search for similar items in EconPapers)
JEL-codes: C32 C58 F31 G11 G20 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324001442
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001442

DOI: 10.1016/j.frl.2024.105114

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().