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Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness

George Milunovich

Australian Economic Review, 2018, vol. 51, issue 4, 551-563

Abstract: We investigate connectedness within and across two major groups or assets: i) five popular cryptocurrencies and ii) six major asset classes plus two commonly employed risk factors. Granger causality tests uncover six direct channels of causality from the elements of the mainstream assets/risk factors group to digital assets. There are also two statistically significant causal links going in the other direction. In order to provide some perspective on the magnitude of these linkages we estimate networks from forecast error variance decompositions. The estimated connectedness within the groups is relatively large, whereas the linkages across the two groups are small in comparison.

Date: 2018
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https://doi.org/10.1111/1467-8462.12303

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Australian Economic Review is currently edited by Ross Williams, Ian McDonald and Mark Wooden

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