The University of Southampton
University of Southampton Institutional Repository

Cryptocurrency reaction to FOMC announcements: Evidence of heterogeneity based on blockchain stack position

Cryptocurrency reaction to FOMC announcements: Evidence of heterogeneity based on blockchain stack position
Cryptocurrency reaction to FOMC announcements: Evidence of heterogeneity based on blockchain stack position
We examine the response of a broad set of digital assets to US Federal Fund interest rate and quantitative easing announcements, specifically examining associated volatility spillover and feedback effects. We classify each digital asset into one of three categories: Currencies; Protocols; and Decentralised Applications (dApps). Currency-based digital assets experience idiosyncratic spillovers in the period immediately after US monetary policy announcements, while application or protocol-based digital assets are largely immune to policy volatility spillover and feedback. Mineable digital assets are found to be more susceptible to monetary policy volatility spillovers and feedback than non-mineable. Responses indicate a diverse market within which, not all assets are comparable to Bitcoin.
Cryptocurrencies, Digital assets, GARCH, Monetary policy, Volatility spillovers
1572-3089
1-13
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Larkin, Charles
860cc648-ea70-4c86-9126-8b7bd8720847
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Meegan, Andrew
1769c57f-7511-4d6d-8858-2e741fcb6a14
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Larkin, Charles
860cc648-ea70-4c86-9126-8b7bd8720847
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Meegan, Andrew
1769c57f-7511-4d6d-8858-2e741fcb6a14
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Corbet, Shaen, Larkin, Charles, Lucey, Brian, Meegan, Andrew and Yarovaya, Larisa (2020) Cryptocurrency reaction to FOMC announcements: Evidence of heterogeneity based on blockchain stack position. Journal of Financial Stability, 46, 1-13, [100706]. (doi:10.1016/j.jfs.2019.100706).

Record type: Article

Abstract

We examine the response of a broad set of digital assets to US Federal Fund interest rate and quantitative easing announcements, specifically examining associated volatility spillover and feedback effects. We classify each digital asset into one of three categories: Currencies; Protocols; and Decentralised Applications (dApps). Currency-based digital assets experience idiosyncratic spillovers in the period immediately after US monetary policy announcements, while application or protocol-based digital assets are largely immune to policy volatility spillover and feedback. Mineable digital assets are found to be more susceptible to monetary policy volatility spillovers and feedback than non-mineable. Responses indicate a diverse market within which, not all assets are comparable to Bitcoin.

Text
Cryptocurrency_reaction_to_FOMC_Announcements_Evidence_of_Heterogeneity_Based_on_Blockchain_Stack_Position - Accepted Manuscript
Download (690kB)
Text
Cryptocurrency_reaction_to_FOMC_Announcements__Evidence_of_Heterogeneity_Based_on_Blockchain_Stack_Position
Restricted to Repository staff only
Request a copy

More information

Accepted/In Press date: 7 November 2019
e-pub ahead of print date: 16 November 2019
Published date: February 2020
Keywords: Cryptocurrencies, Digital assets, GARCH, Monetary policy, Volatility spillovers

Identifiers

Local EPrints ID: 436932
URI: http://eprints.soton.ac.uk/id/eprint/436932
ISSN: 1572-3089
PURE UUID: f2623193-fcbc-4f08-a40c-ccfc90b4373e
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 14 Jan 2020 17:30
Last modified: 28 Apr 2022 05:51

Export record

Altmetrics

Contributors

Author: Shaen Corbet
Author: Charles Larkin
Author: Brian Lucey
Author: Andrew Meegan
Author: Larisa Yarovaya ORCID iD

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×