Mechanism of information transmission from a spot rate market to crypto-asset markets

Takeshi Yoshihara and Taisei Kaizoji

Papers from arXiv.org

Abstract: We applied the SVAR-LiNGAM to illustrate the causal relationships between the spot exchange rate, and three crypto-asset exchange rates, Bitcoin, Ethereum, and Ripple. It was notable that the causal order, the EUR_USD spot rate->Bitcoin->Ethereum->Ripple, was obtained by this approach. All the instantaneous effects were strongly positive. Moreover, it was notable that Bitcoin can influence the EUR_USD spot rate positively with a one-day time lag.

Date: 2022-11
New Economics Papers: this item is included in nep-pay
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