Evaluating the sophisticated digital assets and cryptocurrencies capacities of substituting international currencies in inflationary eras

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103693

Konstantinos A. Dimitriadis, Demetris Koursaros, Christos S. Savva

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Abstract

This study investigates the dynamic nexus that major international currencies (US dollar, Euro, Japanese yen) exhibit with cryptocurrencies and highly innovative digital money (DeFi and NFT assets) during inflationary periods such as the Russia-Ukraine conflict (from 14 December 2021 until 1 March 2024). The Quantile Vector Autoregressive methodology as in Cunado et al. (2023) and daily data are adopted to investigate the net joint extended dynamic connectedness and network connectedness at lower and upper quantiles. Conventional international currencies act as hedgers against shocks while major cryptocurrencies are only modest generators with Ripple being an influential absorber of effects. DeFi mainly serve for counteracting losses from conventional investments in bear or bull markets and Maker is the most prominent generator of spillovers while NFTs mostly rely on a few very strong leaders –Gala being by far the strongest- to have an impact, imitating Bitcoin in the early cryptocurrency era.

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评估尖端数字资产和加密货币在通胀时代替代国际货币的能力

本研究调查了主要国际货币（美元、欧元、日元）与加密货币和高度创新的数字货币（DeFi 和 NFT 资产）在俄罗斯-乌克兰冲突等通货膨胀时期（2021 年 12 月 14 日至 2024 年 3 月 1 日）表现出的动态联系。采用 Cunado 等人（2023 年）中的量子向量自回归方法和每日数据，研究下量子和上量子的净联合扩展动态连通性和网络连通性。传统国际货币是冲击的对冲者，而主要加密货币只是适度的生成者，瑞波币是有影响力的效应吸收者。DeFi主要用于抵消传统投资在熊市或牛市中的损失，Maker是最突出的溢出效应产生者，而NFTs主要依靠少数几个非常强大的领导者--Gala是迄今为止最强大的--来产生影响，模仿早期加密货币时代的比特币。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.