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 protocolbased 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.
Metadata
Item Type:
Article (Published)
Refereed:
Yes
Additional Information:
Article Number:100706
Uncontrolled Keywords:
Cryptocurrencies; Digital Assets; GARCH; Volatility Spillovers; Monetary Policy