New Evidence on Spillovers Between Crypto Assets and Financial Markets

Roshan Iyer and Adina Popescu

No 2023/213, IMF Working Papers from International Monetary Fund

Abstract: We analyze returns and volatility spillovers among a representative set of crypto and financial assets. The magnitude of spillovers increases during periods of heightened turbulence due to negative economic-financial news, crypto market events, or exogenous shocks. There is evidence of increasing spillovers over time, with a peak during the COVID-19 pandemic, implying growing interdependence. Crypto assets predominantly transmit spillovers to financial markets, though reversals occur during periods of financial stress. The increased correlation during risk-off episodes suggests that crypto assets could serve as important conduits for financial market shocks, generating financial stability risks.

Keywords: Cryptocurrencies; Crypto assets; Bitcoin; Spillovers; Return and Volatility Connectedness; crypto market event; magnitude of spillover; volatility connectedness; crypto market; volatility spillover; Stock markets; Securities markets; COVID-19; Global (search for similar items in EconPapers)
Pages: 62
Date: 2023-09-29
New Economics Papers: this item is included in nep-ban, nep-fdg, nep-pay and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=539476 (application/pdf)

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:imf:imfwpa:2023/213

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().