International monetary policy and cryptocurrency markets: dynamic and spillover effects
研究2013至2019年间四大经济体货币政策与三种主要加密货币之间的动态溢出效应，发现负利率时期溢出效应显著，美联储政策调整期间有所缓和，且加密货币与货币政策间的溢出整体较弱。
Using daily data over the period August 5, 2013 - September 27, 2019, this study investigates the dynamic spillovers between international monetary policies across four major economies (i.e. Eurozone, Japan, UK and US) and three key cryptocurrencies (i.e. Bitcoin, Litecoin and Ripple). In doing so, we apply a Time-Varying Parameter Vector Auto-Regression (TVP-VAR) model, a dynamic connectedness approach and network analysis. The empirical results indicate that cryptocurrency returns and monetary policy spillovers were particularly large when shadow policy rates became negative, moderated during the Fed's "tapering process", and sharpened again more recently as cryptocurrency buoyancy returned. Gross directional spillovers suggest that shadow policy rates have more "to give than to receive", while those from and to cryptocurrency returns are naturally volatile. There is also strong interconnectedness between monetary policy in either the US or the Eurozone and the UK, and between Bitcoin and Litecoin. However, the spillovers across monetary policy and cryptocurrencies tend to be muted. Finally, spillovers were only slightly larger during the Fed's "unconventional" policy compared to the "standard" era, but their composition qualitatively changed over time.