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

Corbet, Shaen orcid logoORCID: 0000-0001-7430-7417, Larkin, Charles orcid logoORCID: 0000-0002-0352-2504, Lucey, Brian orcid logoORCID: 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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