This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency benchmark index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, such as the Volatility Index and the Economic Policy Uncertainty, we also consider two...

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts and a net receiver during booms. Analysis of...

This study investigates the dynamics and spillovers between international monetary policy, between cryptocurrencies and across the two using daily data for four major economies (Eurozone, Japan, UK and US) and three key cryptocurrencies (Bitcoin, Litecoin and Ripple) over the period August 5,...