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Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers

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  • Jiménez, Inés
  • Mora-Valencia, Andrés
  • Perote, Javier

Abstract

This paper introduces a flexible semi-nonparametric model, the so-called SNP-VSK model, to analyze the higher-order moment interactions among cryptocurrencies and the forex markets, i.e., accounting for conditional volatility, skewness, and kurtosis spillovers. These transmissions among cryptos are identified considering Bitcoin halving as a factor of price uncertainty. To study the degree of integration of cryptocurrency markets in the economy, spillover effects with the forex market are considered, showing that Bitcoin and Ethereum are the prime receivers of positive volatility transmission, a sign of integration with the currency markets, but also potential sources of financial instability.

Suggested Citation

  • Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2024. "Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 302-315.
    • Handle: RePEc:eee:reveco:v:92:y:2024:i:c:p:302-315
    DOI: 10.1016/j.iref.2024.02.022
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatility; Higher-order moments; Spillovers; Halving; Cryptocurrencies;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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