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First published in Journal of Risk and Financial Management, v18 i7 (2025) published by MDPI. DOI: https://doi.org/10.3390/jrfm18070360

Document Type

Article

Publication Version

Published Version

Keywords

cryptocurrency transmission, Bayesian SVAR, pandemic priors, financial spillover, narrative identification, macroeconomic effects

Journal/Book/Conference Title

Journal of Risk and Financial Management

Volume

18

Issue

7

First Page

1

Last Page

22

Abstract

This paper examines cryptocurrency shock transmission to financial markets and the macroeconomy using a Bayesian structural VAR with Pandemic Priors from 2015 to 2024. By affecting overall risk appetite, cryptocurrency price shocks generate positive financial market spillovers, accounting for 18% of equity and 27% of commodity price fluctuations. Real economic effects are significant in driving investment but remain limited, contributing only 4% to unemployment and 6% to industrial production variance. However, cryptocurrency shocks explain 18% of price-level forecast error variance at long horizons. Narrative analysis reveals sentiment and technology as primary shock drivers. These findings demonstrate cryptocurrency's deep financial system integration with important inflation implications for monetary policy.

Department

Department of Economics

Original Publication Date

7-1-2025

Object Description

1 PDF File

DOI of published version

10.3390/jrfm18070360

Repository

UNI ScholarWorks, Rod Library, University of Northern Iowa

Date Digital

7-1-2025

Copyright

©2025 The Author(s)

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Language

en

File Format

application/pdf

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