Connectedness between central bank digital currency index, financial stability and digital assets

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Journal of International Financial Markets Institutions & Money Pub Date : 2024-03-26 DOI:10.1016/j.intfin.2024.101981
Tugba Bas , Issam Malki , Sheeja Sivaprasad
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Abstract

This study examines the interconnectedness between central bank digital currencies (CBDC) index, digital assets and financial stability. First, we use the CBDC index as a measure of financial stability and examine its connectedness with other known measures of financial stability used in the literature. Secondly, we analyse the connectedness of CBDC index with digital assets such as cryptocurrencies and non-fungible tokens and various measures of financial stability. By analysing index returns of CBDC data and applying various connectedness measures to CBDC index, cryptocurrencies, stablecoins and NFTs, we gain insights into the relationships among these assets within a framework. The findings reveal a significant level of connectedness between CBDCs index, digital assets and financial stability. Our analysis shows a weak positive connectedness between CBDCs index and digital assets, indicating that movements in the CBDC index are not closely related to the performance of various digital assets and have a very small contribution to the changes in the returns of digital assets. Furthermore, the study finds bidirectional connectedness between CBDCs and other financial stability measures, suggesting that changes in CBDC performance can influence the overall stability of the financial system, and vice versa. This highlights the importance of carefully considering the design and implementation of CBDCs to ensure they support financial stability objectives.

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央行数字货币指数、金融稳定性与数字资产之间的关联性
本研究探讨了央行数字货币(CBDC)指数、数字资产和金融稳定性之间的相互联系。首先,我们使用 CBDC 指数作为金融稳定性的衡量标准,并研究其与文献中使用的其他已知金融稳定性衡量标准之间的关联性。其次,我们分析了 CBDC 指数与加密货币和不可兑换代币等数字资产以及各种金融稳定性衡量指标之间的关联性。通过分析 CBDC 数据的指数回报,并将各种关联性度量方法应用于 CBDC 指数、加密货币、稳定币和 NFT,我们深入了解了这些资产在一个框架内的关系。研究结果表明,CBDCs 指数、数字资产和金融稳定性之间存在明显的关联性。我们的分析表明,CBDCs 指数与数字资产之间存在微弱的正相关性,这表明 CBDCs 指数的变动与各种数字资产的表现并不密切相关,对数字资产收益率变化的贡献也非常小。此外,研究还发现 CBDC 与其他金融稳定性指标之间存在双向联系,表明 CBDC 表现的变化会影响金融体系的整体稳定性,反之亦然。这凸显了仔细考虑 CBDC 的设计和实施以确保其支持金融稳定目标的重要性。
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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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