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Mối liên kết giữa Bitcoin và các loại ngoại tệ tại thị trường phát triển và mới nổi
Tóm tắt
Nghiên cứu này điều tra mối liên kết giữa Bitcoin và các loại tiền tệ Fiat tại hai nhóm quốc gia: các nước phát triển G7 và các nước mới nổi BRICS. Phương pháp nghiên cứu áp dụng copula R-vine thông thường (R) và so sánh với hai mô hình chuẩn: copula t đa biến và mô hình GARCH điều kiện động (DCC). Hơn nữa, nghiên cứu này xem xét liệu sự sụp đổ của Bitcoin vào năm 2013, đợt bán tháo năm 2018, đại dịch COVID-19, sự sụp đổ năm 2021, và cuộc xung đột Nga-Ukraine có ảnh hưởng đến mối liên kết với các đồng tiền thông thường hay không. Kết quả cho thấy rằng đối với cả hai giỏ tiền tệ, R-vine vượt trội hơn so với các mô hình chuẩn. Do đó, sự phụ thuộc được mô hình hóa tốt hơn bằng cách cung cấp đủ thông tin về con đường truyền tải cú sốc. Hơn nữa, mối liên kết giữa các thị trường có xu hướng tăng nhẹ trong các đợt sụp đổ của Bitcoin, và đạt mức độ đáng kể trong các cuộc khủng hoảng năm 2021 và 2022, điều này có thể chỉ ra sự kết thúc của tình trạng cách ly trên thị trường của đồng tiền ảo.
Từ khóa
#Bitcoin #tiền tệ Fiat #R-vine #copula #thị trường phát triển #thị trường mới nổi #khủng hoảng tài chínhTài liệu tham khảo
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