The impact of central bank digital currency news on the stock and cryptocurrency markets: Evidence from the TVP-VAR model

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dc.authoridHelmi, Mohamad Husam/0000-0003-0907-7939
dc.contributor.authorHelmi, Mohamad Husam
dc.contributor.authorCatik, Abdurrahman Nazif
dc.contributor.authorAkdeniz, Coskun
dc.date.accessioned2024-10-29T17:58:29Z
dc.date.available2024-10-29T17:58:29Z
dc.date.issued2023
dc.departmentTekirdağ Namık Kemal Üniversitesi
dc.description.abstractThis study employs a non-linear framework to investigate the impacts of central bank digital currency (CBDC) news on the financial and cryptocurrency markets. The time-varying vector autoregressive (TVP-VAR) model developed by Primiceri (2005) is estimated based on weekly data from the first week of January 2015 to the last week of December 2021. The vector of endogenous variables in the VAR estimation contains the Central Bank Digital Currency uncertainty index (CBDCU), cryptocurrency policy uncertainty index, S&P 500 index, VIX, and Bitcoin price. The TVP-VAR model's time-varying responses demonstrated that the reactions of the cryptocurrency market to central bank digital currency announcements vary remarkably over time. The impacts of the CBDC shocks on the financial market have been increasingly visible during the COVID-19 pandemic. According to the time-varying forecast error decompositions, CBDCU and VIX shocks have accounted for most of the variance in cryptocurrency uncertainty and Bitcoin return shocks, notably during the COVID-19 period.
dc.identifier.doi10.1016/j.ribaf.2023.101968
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopus2-s2.0-85154604967
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2023.101968
dc.identifier.urihttps://hdl.handle.net/20.500.11776/14343
dc.identifier.volume65
dc.identifier.wosWOS:000992389700001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofResearch in International Business and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCentral bank digital currency (CBDC)
dc.subjectDigital money
dc.subjectFinancial markets
dc.subjectCryptocurrency
dc.subjectTVP-VAR
dc.titleThe impact of central bank digital currency news on the stock and cryptocurrency markets: Evidence from the TVP-VAR model
dc.typeArticle

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