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    The linkage between Bitcoin and foreign exchanges in developed and emerging markets

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    Author
    BenSaïda, Ahmed cc
    Date
    2023-01
    
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    Abstract
    This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional correlation (DCC) GARCH model. Moreover, this study examines whether the Bitcoin meltdown of 2013, selloff of 2018, COVID-19 pandemic, 2021 crash, and the Russia-Ukraine conflict impact the linkage with conventional currencies. The results indicate that for both currency baskets, R-vine beats the benchmark models. Hence, the dependence is better modeled by providing sufficient information on the shock transmission path. Furthermore, the cross-market linkage slightly increases during the Bitcoin crashes, and reaches significant levels during the 2021 and 2022 crises, which may indicate the end of market isolation of the virtual currency.
    Department
    Finance
    Publisher
    Springer
    Journal title
    Financial Innovation
    DOI
    10.1186/s40854-023-00454-w
    ae974a485f413a2113503eed53cd6c53
    10.1186/s40854-023-00454-w
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