Dyhrberg (2016) analyzes the relationship between Bitcoin, gold and the US dollar within a GARCH framework and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates...

This paper uses a theoretical model to analyse the dynamic relationship of virtual currency with fiat currency. The model demonstrates that the price impact of potential users and speculators in virtual currencies adversely affects their property as a medium of exchange and renders a crowding...

The correlation between equity returns and currency returns affects the risk of international equity portfolios. We analyze the equity index and currency returns of 53 countries and find that correlations are mainly positive. Negative correlations are found for currencies which play a special...

This study shows that changes in bitcoin exchange reserves are negatively related to contemporaneous and future bitcoin returns, consistent with the hypothesis that the transfer of bitcoin on exchanges implies increased price pressure and vice versa. We further identify an asymmetry between...

The paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the appreciation of the Japanese yen forced the Japanese...