Corbet, Shaen ORCID: 0000-0001-7430-7417, Larkin, Charles ORCID: 0000-0002-0352-2504, Lucey, Brian ORCID: 0000-0002-4052-8235 and Meegan, Andrew (2019) Cryptocurrency reaction to FOMC announcements: evidence of heterogeneity based on blockchain stack position. Journal of Financial Stability, 46 . ISSN 1572-3089
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 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 |
Subjects: | Business > Finance |
DCU Faculties and Centres: | DCU Faculties and Schools > DCU Business School |
Publisher: | Elsevier |
Official URL: | http://dx.doi.org/10.1016/j.jfs.2019.100706 |
Copyright Information: | © 2019 Elsevier. CC BY-NC-ND |
ID Code: | 25046 |
Deposited On: | 01 Oct 2020 11:49 by Thomas Murtagh . Last Modified 07 Nov 2021 04:30 |
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