The impacts of cryptocurrency shocks on emerging market currencies: evidence from quantile regression

Mei-yin Lin ()
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Mei-yin Lin: Shih Hsin University, Taipei, Taiwan

Economics Bulletin, 2023, vol. 43, issue 4, 1875 - 1886

Abstract: This paper employs the quantile regression model to investigate the impacts of cryptocurrency shocks on 17 emerging market currencies. The finding shows that cryptocurrency returns significantly influence the exchange rates of emerging market currencies at both lower and higher quantiles. These effects can be positive or negative during normal periods. However, during periods of turmoil, an increase in cryptocurrency returns leads to a depreciation effect on the majority of emerging market currencies.

Keywords: Cryptocurrency; Emerging market currency; Quantile regression model (search for similar items in EconPapers)
JEL-codes: E5 F3 (search for similar items in EconPapers)
Date: 2023-12-30
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