Al-Shboul Mohammad, Assaf Ata, Mokni Khaled
Department of Finance and Economics, School of Business Administration, University of Sharjah, United Arab Emirates.
Faculty of Business and Management, University of Balamand, P.O.Box: 100, Tripoli, Lebanon.
Res Int Bus Finance. 2023 Jan;64:101824. doi: 10.1016/j.ribaf.2022.101824. Epub 2022 Dec 2.
The paper examines the dynamic spillover among traditional currencies and cryptocurrencies before and during the COVID-19 pandemic and investigates whether economic policy uncertainty (EPU) impacts this spillover. Based on the TVP-VAR approach, we find evidence of spillover effects among currencies, which increased widely during the pandemic. In addition, results suggest that almost all cryptocurrencies remain as "safe-haven" tools against market uncertainty during the COVID-19 period. Moreover, comparative analysis shows that the total connectedness for cryptocurrencies is lower than for traditional currencies during the crisis. Further analysis using quantile regression suggests that EPU exerts an impact on the total and the net spillovers with different degrees across currencies and this impact is affected by the health crisis. Our findings have important policy implications for policymakers, investors, and international traders.
本文考察了新冠疫情之前及期间传统货币与加密货币之间的动态溢出效应，并研究经济政策不确定性（EPU）是否会影响这种溢出效应。基于时变参数向量自回归（TVP-VAR）方法，我们发现货币之间存在溢出效应的证据，这种效应在疫情期间大幅增加。此外，结果表明，在新冠疫情期间，几乎所有加密货币仍是抵御市场不确定性的“避险”工具。而且，比较分析显示，危机期间加密货币的总体连通性低于传统货币。使用分位数回归的进一步分析表明，EPU对不同货币的总溢出和净溢出产生不同程度的影响，且这种影响受健康危机的影响。我们的研究结果对政策制定者、投资者和国际贸易商具有重要的政策意义。
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