Tail Risk Spillover Effects Among Four Major Cryptocurrencies : A Comparison Before and After the COVID-19 Epidemic
This paper compares and analyzes the tail risk spillover effects of four major cryptocurrencies (BTC, ETH, DOGE, and XRP) before and after the COVID-19 pandemic, empirical evidence based on the methodology of Diebold and Yilmaz (2012) and Baruník and Křehlík(2018) suggest three primary conclusions. First, the COVID-19 outbreak increased the tail risk of cryptocurrencies and slightly reduced the tail risk spillover in the cryptocurrency market, but caused the tail risk spillover to fluctuate back and forth between high and low spillover, which increased the uncertainty of the market. Second, the tail risk spillover in the cryptocurrency market has the characteristic of “cumulative slow release”, and we decompose it into frequencies and find that the tail risk spillover in the cryptocurrency market is mainly high-frequency spillover, while medium-frequency and low-frequency spillover are relatively stable. Third, for different cryptocurrencies, the outbreak of COVID-19 changed the risk positioning of the leading currencies(BTC and USDT) in the risk contagion network, while the role of the secondary currencies(XRP and ETH) is not clear, but the risk transmission and risk reception of both are tremendous. Therefore, these results provide an important reference for financial risk management and macroprudential design
Year of publication: |
2023
|
---|---|
Authors: | Yang, Ronghai ; Du, Linfeng |
Publisher: |
[S.l.] : SSRN |
Subject: | Coronavirus | Spillover-Effekt | Spillover effect | Vergleich | Comparison | Epidemie | Epidemic |
Saved in:
freely available
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