Spillovers between cryptocurrencies and financial markets in a global framework

Darko B. Vuković, Michael Frömmel, Samuel A. Vigne and Vyacheslav Zinovev

Journal of International Money and Finance, 2025, vol. 150, issue C

Abstract: We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.

Keywords: The Bayesian Global Vector Autoregression; Spillover; Cryptocurrencies; Global Financial Market (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002225

DOI: 10.1016/j.jimonfin.2024.103235

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