Related papers: Monetary Policy, Digital Assets, and DeFi Activity
This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings.…
This study examines the effects of macroeconomic policies on financial markets using a novel approach that combines Machine Learning (ML) techniques and causal inference. It focuses on the effect of interest rate changes made by the US…
The Non-Fungible Token (NFT) market in the Ethereum blockchain experienced explosive growth in 2021, with a monthly trade volume reaching \$6 billion in January 2022. However, concerns have emerged about possible wash trading, a form of…
This paper investigates the impact of sanctions on Tornado Cash, a smart contract protocol designed to enhance transaction privacy. Following the U.S. Department of the Treasury's sanctions against Tornado Cash in August 2022, platform…
The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
Investors commonly exhibit the disposition effect - the irrational tendency to sell their winning investments and hold onto their losing ones. While this phenomenon has been observed in many traditional markets, it remains unclear whether…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
Ethereum contracts can be designed to function as fully decentralized applications called DAPPs. Many DAPPs have already been fielded, including an online marketplace, a role playing game, a prediction market, and an Internet service…
This paper examines fiscal policy spillovers through informal international financial channels, using the US stimulus checks as a positive, sudden, and direct fiscal shock. I utilize granular, transaction-level cryptocurrency data combined…
The decentralized and trustless nature of cryptocurrencies and blockchain technology leads to a shift in the digital world. The possibility to execute small programs, called smart contracts, on cryptocurrencies like Ethereum opened doors to…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
The approval of the Bitcoin Spot ETF in January 2024 marked a transformative event in cryptocurrency markets, signaling increased institutional adoption and integration into traditional finance. This study examines Bitcoin's changing…
In Ethereum, private transactions, a specialized transaction type employed to evade public Peer-to-Peer (P2P) network broadcasting, remain largely unexplored, particularly in the context of the transition from Proof-of-Work (PoW) to…
Decentralized finance, i.e., DeFi, has become the most popular type of application on many public blockchains (e.g., Ethereum) in recent years. Compared to the traditional finance, DeFi allows customers to flexibly participate in diverse…
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency markets and investigates the presence of asymmetric volatility…
Much of the recent excitement around decentralized finance (DeFi) comes from hopes that DeFi can be a secure, private, less centralized alternative to traditional finance systems. However, people moving to DeFi sites in hopes of improving…
It is a well-documented fact that the correlation function of the returns on two "related" assets is generally increasing as a function of the horizon $h$ of these returns. This phenomenon, termed the Epps Effect, holds true in a wide…
Cryptocurrencies have emerged as a novel financial asset garnering significant attention in recent years. A defining characteristic of these digital currencies is their pronounced short-term market volatility, primarily influenced by…