Exploring nonlinear tail dependencies: Cryptocurrencies, stablecoins, and commodity markets amid monetary shifts

Zehra Atik, Murat Guven, Bulent Guloglu, Gulsah Hancerliogullari Koksalmis and Fethi Calisir

Research in International Business and Finance, 2025, vol. 76, issue C

Abstract: This study explores the nonlinear tail dependence and tail risk in major cryptocurrencies, stablecoins, and various commodity markets. To achieve this, we apply a novel measure of nonlinear tail dependence across two distinct periods: the COVID-19-induced monetary expansion from January 3, 2020, to December 31, 2021, and the subsequent monetary contraction from January 1, 2022, to September 14, 2022. Unlike previous studies, this research uniquely considers both the right and left tails and the interactions between stablecoins and major cryptocurrencies. Our findings reveal a significant and persistent upper and lower tail dependence between major cryptocurrencies and commodity markets during both the monetary expansion and contraction periods. We also observe consistent upper and lower tail dependence between most stablecoins and commodity markets throughout these periods. Additionally, our analysis underscores the predictive power of commodity markets concerning cryptocurrency performance. Importantly, our results challenge the prevailing view that stablecoins function as safe-haven assets, offering a fresh perspective that diverges from prior research. These insights are precious for investors who diversify their portfolios across different monetary policy regimes.

Keywords: Nonlinear tail dependence; Cryptocurrency and stablecoin markets; Commodity market interactions; Monetary policy regimes; Tail risk analysis (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925001308

DOI: 10.1016/j.ribaf.2025.102874

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