TY - JOUR

T1 - Spillovers between cryptocurrencies and financial markets in a global framework

AU - Вукович, Дарко

AU - Frommel, Michael

AU - Vigne, Samuel A.

AU - Zinovev, Vyacheslav

N1 - Vukovic, D. B., Frömmel, M., Vigne, S. A., & Zinovev, V. (2025). Spillovers between cryptocurrencies and financial markets in a global framework. Journal of International Money and Finance, 150 (February, 2025), 103235. doi: https://doi.org/10.1016/j.jimonfin.2024.103235

PY - 2025/2/1

Y1 - 2025/2/1

N2 - We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.

AB - We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.

KW - Cryptocurrencies

KW - Global Financial Market

KW - Spillover

KW - The Bayesian Global Vector Autoregression

UR - https://www.mendeley.com/catalogue/1d226897-d97c-3d5c-b37a-d7cbb4e9e5c5/

U2 - 10.1016/j.jimonfin.2024.103235

DO - 10.1016/j.jimonfin.2024.103235

M3 - Article

VL - 150

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

SN - 0261-5606

M1 - 103235

ER -