| ID | 171883 |
| Title Proper | Do Cryptocurrencies Increase the Systemic Risk of the Global Financial Market? |
| Language | ENG |
| Author | Huang, Yiping ; Shiyun Li, Yiping Huang ; Li, Shiyun |
| Summary / Abstract (Note) | The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market. This paper analyzes the risk spillover relation between cryptocurrencies and major nancial assets, and unravels how cryptocurrencies could influence global financial systemic risk. We find that cryptocurrencies function as a separate risk source from traditional assets. Major legislative, financial and technological events in the cryptocurrency market may affect risk spillover dynamics. Although the overall penetration of cryptocurrencies is not yet deep, introducing cryptocurrency can signicantly increase the systemic risk to traditional markets during low risk level episodes |
| `In' analytical Note | China and World Economy Vol. 28, No.1; Jan-Feb 2020: p.122–143 |
| Journal Source | China and World Economy 2020-02 28, 1 |
| Key Words | Systemic Risk ; Cryptocurrency ; Dynamic Risk Spillover |