Are cryptocurrencies connected to forex? A quantile cross-spectral approach

Eduard Baumohl

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

Abstract: This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29 December 2017. Compared with the results obtained from standard correlations and detrended moving-average cross-correlation analysis (DMCA), the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The most interesting result is that the intra-group dependencies are positive in the lower extreme quantiles, while inter-group dependencies are negative. This result holds in both the short- and long-term perspectives. Thus, it is worth diversifying between these two currency groups.

Keywords: cryptocurrencies; fiat currencies; quantile dependence; cross-spectral analysis; diversification (search for similar items in EconPapers)
JEL-codes: F31 G11 G15 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-pay
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Are cryptocurrencies connected to forex? A quantile cross-spectral approach (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:174884

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