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Title: Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic
Authors: Al-Shboul, Mohammad
Assaf, Ata 
Mokni, Khaled
Affiliations: Department of Business Administration 
Keywords: COVID-19
Dynamic spillover
Economic policy uncertainty
Traditional currencies
Issue Date: 2023-01
Publisher: National Library of Medicine
Part of: Research in International Business and Finance
Volume: 64
The paper examines the dynamic spillover among traditional currencies and cryptocurrencies before and during the COVID-19 pandemic and investigates whether economic policy uncertainty (EPU) impacts this spillover. Based on the TVP-VAR approach, we find evidence of spillover effects among currencies, which increased widely during the pandemic. In addition, results suggest that almost all cryptocurrencies remain as "safe-haven" tools against market uncertainty during the COVID-19 period. Moreover, comparative analysis shows that the total connectedness for cryptocurrencies is lower than for traditional currencies during the crisis. Further analysis using quantile regression suggests that EPU exerts an impact on the total and the net spillovers with different degrees across currencies and this impact is affected by the health crisis. Our findings have important policy implications for policymakers, investors, and international traders.
ISSN: 02755319
DOI: 10.1016/j.ribaf.2022.101824
Open URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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