Mechanism of Information Transmission from a Spot Rate Market to Crypto-asset Markets
Mechanism of Information Transmission from a Spot Rate Market to Crypto-asset Markets
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DOI：
10.7566/jpscp.40.011005
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发表时间：
2022-11
期刊：
影响因子：
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通讯作者：
T. Yoshihara;T. Kaizoji
中科院分区：
文献类型：
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作者：
T. Yoshihara;T. Kaizoji
我们应用 SVAR-LiNGAM 来说明即期汇率与三种加密资产汇率（比特币、以太坊和瑞波币）之间的因果关系。值得注意的是，通过这种方法获得了因果顺序：EUR_USD即期汇率->比特币->以太坊->瑞波币。所有的瞬时效应都是非常积极的。此外，值得注意的是，比特币可以对欧元兑美元即期汇率产生积极影响，但存在一天的时间滞后。
We applied the SVAR-LiNGAM to illustrate the causal relationships between the spot exchange rate, and three crypto-asset exchange rates, Bitcoin, Ethereum, and Ripple. It was notable that the causal order, the EUR_USD spot rate->Bitcoin->Ethereum->Ripple, was obtained by this approach. All the instantaneous effects were strongly positive. Moreover, it was notable that Bitcoin can influence the EUR_USD spot rate positively with a one-day time lag.