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Crisis And Contagion In Cryptocurrency Market
The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | Jakarta: Bank Indonesia 2023 |
|---|---|
| Edisi | Volume 26, 16th BMEB Call for Papers Special Issue |
| Subjek | Crisis Contagion Cryptocurrency Market |
| ISBN/ISSN | 2460-9196 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 148 p. |
| Info Detail Spesifik | Bulletin Of Monetary Economics And Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |