Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers

Inés Jiménez, Andrés Mora-Valencia and Javier Perote

International Review of Economics & Finance, 2024, vol. 92, issue C, 302-315

Abstract: This paper introduces a flexible semi-nonparametric model, the so-called SNP-VSK model, to analyze the higher-order moment interactions among cryptocurrencies and the forex markets, i.e., accounting for conditional volatility, skewness, and kurtosis spillovers. These transmissions among cryptos are identified considering Bitcoin halving as a factor of price uncertainty. To study the degree of integration of cryptocurrency markets in the economy, spillover effects with the forex market are considered, showing that Bitcoin and Ethereum are the prime receivers of positive volatility transmission, a sign of integration with the currency markets, but also potential sources of financial instability.

Keywords: Volatility; Higher-order moments; Spillovers; Halving; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: C14 C58 F62 G15 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:92:y:2024:i:c:p:302-315

DOI: 10.1016/j.iref.2024.02.022

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