Cryptocurrency reaction to fomc announcements: Evidence of heterogeneity based on blockchain stack position

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

Research output: Contribution to journalArticle

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 languageEnglish
Article number100706
JournalJournal of Financial Stability
Volume46
Early online date16 Nov 2019
DOIs
Publication statusE-pub ahead of print - 16 Nov 2019

Keywords

  • Cryptocurrencies
  • Digital assets
  • GARCH
  • Monetary policy
  • Volatility spillovers

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

Cite this

Cryptocurrency reaction to fomc announcements: Evidence of heterogeneity based on blockchain stack position. / Corbet, Shaen; Larkin, Charles James; Lucey, Brian M; Meegan, Andrew; Yarovaya, Larisa.

In: Journal of Financial Stability, Vol. 46, 100706, 01.02.2020.

Research output: Contribution to journalArticle

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