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The impacts of cryptocurrency shocks on emerging market currencies: evidence from quantile regression

Author

Listed:
  • Mei-yin Lin

    (Shih Hsin University, Taipei, Taiwan)

Abstract

This paper employs the quantile regression model to investigate the impacts of cryptocurrency shocks on 17 emerging market currencies. The finding shows that cryptocurrency returns significantly influence the exchange rates of emerging market currencies at both lower and higher quantiles. These effects can be positive or negative during normal periods. However, during periods of turmoil, an increase in cryptocurrency returns leads to a depreciation effect on the majority of emerging market currencies.

Suggested Citation

  • Mei-yin Lin, 2023. "The impacts of cryptocurrency shocks on emerging market currencies: evidence from quantile regression," Economics Bulletin, AccessEcon, vol. 43(4), pages 1875-1886.
    • Handle: RePEc:ebl:ecbull:eb-23-00364
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2023/Volume43/EB-23-V43-I4-P161.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cryptocurrency; Emerging market currency; Quantile regression model;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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