Ishinomaki Senshu University
Senshu University Institutional Repository(専修大学機関リポジトリ )Not a member yet
14320 research outputs found
Sort by
Spillover Effects of Return Volatility between Crypto Asset Markets and Financial Markets : TVP-VAR Approach
Get PDF本稿は,暗号資産と伝統的金融資産(株式,金,債券)の2024年5月末までの日次データを用いて,TVP-VARモデル(Time-Varying Parameter−Vector Autoregressive Model : 時変ベクトル自己回帰モデル)による時変パラメーターによる相互連関性分析やネット連結性指数の計測等により,暗号資産が各伝統的金融資産との関係において,どういった資産となりうるか(分散投資先,すなわちヘッジ資産となりうるか,それともリスク波及資産か)を検証することを試みたものである。主な結論は,ビットコインと伝統的な金融資産の関係については,先行研究が指摘するように,2020年付近に一時高まり一部でリスク伝播の可能性が懸念されたものの,その後,波及効果が低下したように見受けられる。ネット連結性指数の推計も同様であり,ビットコインはおおむね影響の受信側にいる期間が長く,伝統的金融資産に対して影響を与える状況には現時点ではないように見受けられる。This paper attempts to examine the relationship (diversification, i.e., hedge assets or risk spillover assets) between crypto assets and traditional financial assets (stocks, gold, and bonds) by measuring the net connectivity index and analyzing the interconnectedness through the time-varying parameters in the TVP-VAR model (Time-Varying Parameter−Vector Autoregressive Model), using daily data until the end of May 2024. The main conclusion is that the relationship between Bitcoin and traditional financial assets temporarily increased around 2020, as pointed out by previous studies, and some were concerned about the possibility of risk propagation, but the spillover effect appears to have declined since then. The estimates of the net connectivity index show almost the same, with bitcoin generally being on the net receiver side of the impact for most of the period, and does not appear to be in a position to have an impact on traditional financial assets at this time.departmental bulletin pape
