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
1-13
Corbet, Shaen
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Larkin, Charles
860cc648-ea70-4c86-9126-8b7bd8720847
Lucey, Brian
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Meegan, Andrew
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Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
February 2020
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, , [100706].
(doi:10.1016/j.jfs.2019.100706).
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.
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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
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Date deposited: 14 Jan 2020 17:30
Last modified: 17 Mar 2024 05:03
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Contributors
Author:
Shaen Corbet
Author:
Charles Larkin
Author:
Brian Lucey
Author:
Andrew Meegan
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