The Effect of Central Bank Digital Currencies News on Financial Markets

Based on the coverage of over 660m news stories from LexisNexis News & Business between 2015–2021, we provide two new indices around the growing area of Central Bank Digital Currencies (CBDC): the CBDC Uncertainty Index (CBDCUI) and CBDC Attention Index (CBDCAI). We show that both indices spiked during news related to new developments in CBDC and in relation to digital currency news items. We demonstrate that CBDC indices have a significant negative relationship with the volatilities of the MSCI World Banks Index, USEPU, and the FTSE All-World Index, and positive with cryptocurrency markets volatility, VIX, and gold. Our results suggest that financial markets are more sensitive to CBDC Uncertainty than CBDC Attention as proxied by these indices

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Year of publication:	[2021]
Authors:	Wang, Yizhi ; Lucey, Brian M. ; Vigne, Samuel ; Yarovaya, Larisa
Publisher:	[S.l.] : SSRN
Subject:	Zentralbank \| Central bank \| Virtuelle Währung \| Virtual currency \| Geldpolitik \| Monetary policy \| Finanzmarkt \| Financial market \| Ankündigungseffekt \| Announcement effect \| Welt \| World

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Extent:	1 Online-Ressource (63 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 29, 2021 erstellt
Other identifiers:	10.2139/ssrn.3952729 [DOI]
Classification:	C43 - Index Numbers and Aggregation ; c58 ; D80 - Information and Uncertainty. General ; E42 - Monetary Systems; Standards; Regimes; Government and the Monetary System ; E58 - Central Banks and Their Policies ; F31 - Foreign Exchange ; G15 - International Financial Markets ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013313996