Time-frequency volatility spillovers between CBDC uncertainty and cryptocurrencies

Jieru Wan, Liyan Han and You Wu

Finance Research Letters, 2025, vol. 74, issue C

Abstract: This study examines volatility spillovers between central bank digital currency (CBDC) uncertainty and cryptocurrencies in the time and frequency domains. Findings show that CBDC uncertainty transmits risk to cryptocurrencies, mainly in the short term. This risk contagion intensifies as countries advance their CBDC development. Moreover, good volatility from CBDC uncertainty to cryptocurrencies exceeds bad volatility, indicating an optimistic response of cryptocurrencies to CBDC uncertainty. These findings underscore the growing connection between CBDCs and cryptocurrencies, offering valuable insights for policy implementation and cryptocurrency investment.

Keywords: CBDC uncertainty; Cryptocurrency; Volatility spillover; Time-frequency domain; Asymmetric spillover (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:74:y:2025:i:c:s1544612325000285

DOI: 10.1016/j.frl.2025.106763

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