TY - JOUR
AU - Du, Anna Min
AU - Younis, Ijaz
AU - Gupta, Himani
AU - Ullah Shah, Waheed
AU - Hanif, Waqas
PY - 2024
DA - May
TI - Spillover Dynamics in DeFi, G7 Banks, and Equity Markets During Global Crises: A TVP-VAR Analysis
JO - Research in International Business and Finance
VL - 70
IS - B
DO - https://doi.org/10.1016/j.ribaf.2024.102405
AB - 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.
PB - Elsevier
UR - https://napier-repository.worktribe.com/output/3651050/spillover-dynamics-in-defi-g7-banks-and-equity-markets-during-global-crises-a-tvp-var-analysis
KW - Coronavirus (COVID-19)
ER