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Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model

Cermak, Vavrinec - 2017

volatility. A GARCH (1,1) model is used to analyze Bitcoin's volatility in respect to the macroeconomic variables of countries … European Union but not in Japan. There is also evidence that Bitcoin acts as a safe-haven asset in China. The volatility of … reach the volatility levels of fiat currencies in 2019-2020 and become a functioning alternative to fiat currencies …

Persistent link: https://www.econbiz.de/10012957332

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …

Persistent link: https://www.econbiz.de/10014438498

Did the Swiss exchange rate shock shock the market?

Buchholz, Manuel; Schweinitz, Gregor von; Tonzer, Lena - 2018

The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Based on a synthetic matching framework, we analyse the impact of this unexpected (and therefore exogenous) shock on the stock market. The results reveal a significant level shift (decline) in asset prices...

Persistent link: https://www.econbiz.de/10011847151

Economic policy in India : for economic stimulus, or for austerity and volatility?

Sen, Sunanda; DasGupta, Zico - 2014

volatility and macroeconomic instability in the midst of the global recession. …

Persistent link: https://www.econbiz.de/10010385761

Risk appetite and exchange rates

Adrian, Tobias; Etula, Erkko M.; Shin, Hyun Song - 2015

We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global...

Persistent link: https://www.econbiz.de/10011399316