Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position

Shaen Corbet; Charles Larkin; Brian Lucey; Andrew Meegan; Larisa Yarovaya

doi:10.1016/j.jfs.2019.100706

Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position

Shaen Corbet, Charles Larkin, Brian Lucey, Andrew Meegan, Larisa Yarovaya

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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.

Original language	English
Article number	100706
Journal	Journal of Financial Stability
Volume	46
Early online date	16 Nov 2019
DOIs	https://doi.org/10.1016/j.jfs.2019.100706
Publication status	Published - 28 Feb 2020

Keywords

Cryptocurrencies
Digital assets
GARCH
Monetary policy
Volatility spillovers

ASJC Scopus subject areas

Finance
Economics, Econometrics and Finance(all)

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10.1016/j.jfs.2019.100706

SSRN-id3073727.PDFAccepted author manuscript, 674 KBLicence: CC BY-NC-ND

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3073727

Cite this

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Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position

Abstract

Keywords

ASJC Scopus subject areas

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