Umar Zaghum, Jareño Francisco, González María de la O
College of Business, Zayed University, United Arab Emirates.
South Ural State University, Lenin Prospect 76, Chelyabinsk, 454080, Russian Federation.
Technol Forecast Soc Change. 2021 Nov;172:121025. doi: 10.1016/j.techfore.2021.121025. Epub 2021 Jul 14.
This research explores the impact of COVID-19-related media coverage on the dynamic return and volatility connectedness of the three dominant cryptocurrencies (Bitcoin (BTC), Ethereum (ETH) and Ripple (XRP)) and the fiat currencies of the euro, GBP and Chinese yuan. The sample period covers the first and second devasting waves of the COVID-19 pandemic crisis and ranges from January 1, 2020, to December 31, 2020. The dynamic return and volatility connectedness measures are estimated using the time varying parameter-VAR approach. Our return connectedness analysis shows that the media coverage index (only before the first wave) and the cryptocurrencies are the net transmitters of shocks while the fiat currencies are the net receivers of shocks. Similar results are obtained in terms of volatility, except for the euro, which shows a clear net receiver profile in January and February. This fiat currency (the euro) became a net transmitter in March and during the first wave of the COVID-19 crisis, which possibly shows the virulence of the pandemic on the European continent. Moreover, the most relevant differences between the net dynamic (return and volatility) connectedness of these two groups of currencies are focused on the beginning of the sample period, just before the first wave of the SARS-CoV-2 pandemic crisis, although some differences are observed during the first and second waves of the coronavirus outbreak.
本研究探讨了与新冠疫情相关的媒体报道对三种主要加密货币（比特币（BTC）、以太坊（ETH）和瑞波币（XRP））以及欧元、英镑和人民币等法定货币的动态回报和波动连通性的影响。样本期涵盖了新冠疫情危机的第一波和第二波毁灭性浪潮，时间跨度从2020年1月1日至2020年12月31日。动态回报和波动连通性度量采用时变参数向量自回归（time varying parameter-VAR）方法进行估计。我们的回报连通性分析表明，媒体报道指数（仅在第一波之前）和加密货币是冲击的净传导者，而法定货币是冲击的净接受者。在波动性方面也得到了类似的结果，但欧元除外，欧元在1月和2月呈现出明显的净接受者特征。这种法定货币（欧元）在3月以及新冠疫情危机的第一波期间成为了净传导者，这可能显示了疫情在欧洲大陆的严重性。此外，这两组货币的净动态（回报和波动）连通性之间最显著的差异集中在样本期开始时，就在新冠病毒大流行危机的第一波之前，不过在冠状病毒爆发的第一波和第二波期间也观察到了一些差异。
