{
  "title": "New Evidence on Spillovers Between Crypto Assets and Financial Markets",
  "publication": "IMF Working Papers, September 29, 2023",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2023/09/30/new-evidence-on-spillovers-between-crypto-assets-and-financial-markets-539476",
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  "summary": "We analyze returns and volatility spillovers among a representative set of crypto and financial assets. The magnitude of spillovers increases during periods of heightened turbulence due to negative economic-financial news, crypto market events, or exogenous shocks.",
  "sections": [
    {
      "heading": "Key findings",
      "content": "- The study analyzes returns and volatility spillovers among a representative set of crypto and financial assets.\n- The magnitude of spillovers increases during periods of heightened turbulence caused by negative economic-financial news, crypto market events, or exogenous shocks.\n- There is evidence of increasing spillovers over time, with a peak during the COVID-19 pandemic, implying growing interdependence.\n- Crypto assets predominantly transmit spillovers to financial markets, though reversals occur during periods of financial stress.\n- The increased correlation during risk-off episodes suggests that crypto assets could serve as important conduits for financial market shocks, generating financial stability risks."
    },
    {
      "heading": "Analysis and implications",
      "content": "- Spillover dynamics:\n  - Returns and volatility spillovers are present between crypto assets and traditional financial assets.\n  - Spillovers are time-varying and intensify in episodes of market turbulence and adverse news.\n  - The COVID-19 pandemic corresponds to a peak in measured spillovers, indicating heightened interdependence in that episode.\n- Directionality:\n  - Net transmission tends to flow from crypto assets to financial markets in most periods.\n  - Direction can reverse in episodes of financial stress, indicating two-way transmission potential.\n- Financial stability considerations:\n  - Increased correlation in risk-off episodes implies crypto markets may amplify or transmit shocks across financial markets, posing financial stability risks."
    },
    {
      "heading": "Subjects and keywords",
      "content": "- Subjects: COVID-19, Financial markets, Financial sector policy and analysis, Health, Securities markets, Spillovers, Stock markets\n- Keywords: Bitcoin, COVID-19, Crypto assets, crypto market, crypto market event, Cryptocurrencies, Global, magnitude of spillover, Return and Volatility Connectedness, Securities markets, Spillovers, Stock markets, volatility connectedness, volatility spillover\n\nSource: IMF Working Papers — \"New Evidence on Spillovers Between Crypto Assets and Financial Markets\" by Roshan Iyer and Adina Popescu, September 29, 2023.\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2023/09/30/new-evidence-on-spillovers-between-crypto-assets-and-financial-markets-539476"
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    "Authors: Roshan Iyer, Adina Popescu",
    "Published: September 29, 2023",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9798400256622.001",
    "The study analyzes returns and volatility spillovers among a representative set of crypto and financial assets.",
    "The magnitude of spillovers increases during periods of heightened turbulence caused by negative economic-financial news, crypto market events, or exogenous shocks.",
    "There is evidence of increasing spillovers over time, with a peak during the COVID-19 pandemic, implying growing interdependence.",
    "Crypto assets predominantly transmit spillovers to financial markets, though reversals occur during periods of financial stress.",
    "The increased correlation during risk-off episodes suggests that crypto assets could serve as important conduits for financial market shocks, generating financial stability risks.",
    "Spillover dynamics:",
    "Directionality:",
    "Financial stability considerations:",
    "Subjects: COVID-19, Financial markets, Financial sector policy and analysis, Health, Securities markets, Spillovers, Stock markets",
    "Keywords: Bitcoin, COVID-19, Crypto assets, crypto market, crypto market event, Cryptocurrencies, Global, magnitude of spillover, Return and Volatility Connectedness, Securities markets, Spillovers, Stock markets, volatility connectedness, volatility spillover",
    "**Working Paper**"
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