@article{Du_A-2024_176687,
title = {Spillover Dynamics in DeFi, G7 Banks, and Equity Markets During Global Crises: A TVP-VAR Analysis},
author = {Du, A. and Younis, I. and Gupta, H. and Ullah Shah, W. and Hanif, W.},
month = {may},
year = {2024},
abstract = {Decentralized finance (DeFi) has become of significant interest for investors in both the financial and digital sectors. We use a time-varying parameter vector autoregression (TVP-VAR) approach to estimate the static and dynamic connections between and within DeFi, G7 banking, and equity markets. We focus on critical events such as the COVID-19 pandemic, the cryptocurrency bubble, and the Russia-Ukraine conflict. The results highlight interconnectedness and significant spillovers within and between the markets, especially during the COVID-19 pandemic. Notably, there were significant spillover effects from the G7 banking and equity markets to Japan and DeFi assets. The findings demonstrate a robust connection between DeFi platforms, G7 banking, and stock markets throughout these tumultuous periods. Policymakers, investors, and entrepreneurs are recommended to keep a close eye on changes in traditional banking and equity markets to adjust the risk of DeFi assets.},
volume = {70},
issue = {B},
journal = {Research in International Business and Finance},
publisher = {Elsevier},
url = {https://doi.org/10.1016/j.ribaf.2024.102405},
}
