Showing papers in "Economics Letters in 2018"

TL;DR: In this article, the authors analyse the relationship between three popular cryptocurrencies and a variety of other financial assets and find evidence of the relative isolation of these assets from the financial and economic assets.

TL;DR: In this paper, the authors examined the relationship between investor attention and Bitcoin fundamentals and found that realized volatility and volume are both significant drivers of next day attention of Bitcoin. But why has Bitcoin received such attention?

TL;DR: It is found that Cryptocurrencies in general have several unique properties including leverage effects and Student- t error distributions.

TL;DR: It is concluded that liquidity plays a significant role in market efficiency and return predictability of new cryptocurrencies.

TL;DR: The issue of informational efficiency of Bitcoin is revisited using a battery of computationally efficient long-range dependence estimators for a period spanning over July 18, 2010 to June 16, 2017 and it is reported that the market is informational efficient.

TL;DR: This work extends existing literature by performing various tests on efficiency of several cryptocurrencies and additionally link efficiency to measures of liquidity, finding that Cryptocurrencies become less predictable / inefficient as liquidity increases.

TL;DR: In this article, the authors investigated whether the introduction of futures trading in Bitcoin is able to resolve the issues that stopped Bitcoin from being considered a currency and showed that spot volatility has increased following the appearance of futures contracts, that futures contracts are not an effective hedging instrument, and that price discovery is driven by uninformed investors in the spot market.

TL;DR: In this article, the authors analyzed asymmetric volatility effects for the 20 largest cryptocurrencies and reported a very different asymmetry compared to equity markets: positive shocks increase the volatility by more than negative shocks.

TL;DR: In this article, the authors study the tail behavior of the returns of five major cryptocurrencies and find that Bitcoin Cash is the riskiest, while Bitcoin and Litecoin are the least risky cryptocurrencies.

TL;DR: This article investigated the internal and external categorical economic policy uncertainty (EPU) spillovers between the US and Japan using a novel extension of the TVP-VAR connectedness approach.

TL;DR: In this paper, the authors focus on the transmission channel of uncertainty between developed economies, examining potential spillover effects between the U.S., the E.U. and Canada.

TL;DR: In this paper, the authors measure interdependencies among 18 major cryptocurrencies and show that Bitcoin is the dominant contributor of return and volatility spillovers among all the sampled cryptocurrencies, and that the time-varying nature of spillovers reveals a certain dimension of uncertainty regarding the future of these digital currencies.

TL;DR: In this article, the adaptive market hypothesis (AMH) and evolving return predictability in the bitcoin market were evaluated using two robust methods in a rolling-window framework to capture time-varying linear and nonlinear dependence in bitcoin returns.

TL;DR: In this article, the authors examine the investibility of Bitcoin by exploring the trading dynamics and market microstructure of Bitcoin on three US cryptocurrency exchanges using high frequency intraday data of individual trades and quotes.

TL;DR: In this article, the authors study the dynamics of Bitcoin daily returns and volatility and find that jumps to volatility are permanent, while jumps to mean returns have contemporaneous effects only, and point to two high volatility periods: the first from late 2013 to early 2014, likely associated to the Mt. Gox incident; the second covers the year of 2017, peaking on December.

TL;DR: The authors employ an asymmetric multivariate VAR-GARCH model to study spillover effects between Bitcoin and energy and technology companies and find unilateral return and volatility spillovers and bidirectional shock influences.

TL;DR: This work develops bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices, and shows that liquidity risks may generate heavy-tails in Bitcoin and cryptocurrency markets.

TL;DR: In this article, the authors examined the empirical linkages between Bitcoin returns and transaction activity, showing that a one standard deviation shock to transaction activity leads to just over a 0.30% gain in returns on the third day following the shock.

TL;DR: In this paper, the authors model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework, finding long memory in both individual markets and the system of markets depicting nonhomogeneous informational inefficiency.

TL;DR: For example, this paper found that women are significantly more altruistic than men in Dictator Game experiments and that both women and men expect women to behave more altruistically than men.

TL;DR: In this article, the authors show that the assumptions required for Lewbel's estimator can indeed be satisfied when an endogenous regressor is binary, which is the case in this paper.

TL;DR: There is very little to select between naive diversification and optimal diversification in a portfolio of four popular cryptocurrencies and the results hold for different levels of risk-aversion and an alternative estimation window.

TL;DR: In this article, the authors introduced a new dimension to the relationship between economic policy uncertainty and stock prices by extending the contributions of Ko and Lee (2015) by using multiple and partial wavelet coherence techniques.

TL;DR: In this article, the authors show that the interpretation of the correlation parameter in the RBP is not the same as in the BP, and that zero correlation parameters in a BP model may actually mask the presence of an RBP process.

TL;DR: In this paper, the authors examined the impact of cryptocurrency issuances on subsequent cryptocurrency returns and constructed a VAR model and showed that Tether issuances do not impact subsequent Bitcoin returns, however, they do impact traded volumes.

TL;DR: This paper used variation in the effect of US-wide or global uncertainty on state-level uncertainty to identify the impact of this shock on real activity and found that increases in uncertainty do have an adverse impact on real income, employment and unemployment.

TL;DR: This article showed that the gender gap in financial literacy is highest in more developed countries and only some of the gap can be explained by personal characteristics; the rest may be due to economic and social environment.

TL;DR: In this paper, the authors show that the minimum wage introduced in Germany in 2015 led to spatial wage convergence, in particular in the left tail of the distribution, without reducing relative employment in low-wage regions within the first two years.

TL;DR: In this paper, the authors investigate at the firm level where value is added along supply chains on a sample of about 2 million firms in the European Union and detect a non-linear U-shaped relationship between the value added content of a firm and its distance from final consumption.

TL;DR: It is found in the combined data set with more than 7000 individual observations that FGF’s original findings are by-and-large stable: conditional cooperation is the predominant pattern; free-riding is frequent, while non-minimal, unconditional cooperation is very rare.