Interdependence, Contagion and Speculative Bubbles in Cryptocurrency Markets
Walter Bazán

Abstract:

This study empirically examines the interdependence and contagion effects in cryptocurrency markets during 2015-2020, a period characterized by speculative bubbles. All multivariate volatility models reveal that the interdependence was moderate until January 2018, and stronger thereafter. Four measures of contagion indicate an increase in the volatility risk transmission among cryptocurrencies after January 2018. Since bubbles might impact the interlinkages between digital currencies, after detecting several speculative bubbles, this study investigates the role of the biggest bubble – that of 2017. All the findings show an increase in both the time-varying correlations and the volatility spillovers after the 2017 bubble burst. The higher the interlinkages, the easier it is to transfer risk. The analysis of a global minimum variance portfolio indicates that the variance and tail risks after the bubble are greater than the levels before the bubble.

Speaker:

Walter Bazán es Ph.D. en Economía por Fordham University, con especialidad en mercado de divisas, gestión de cartera de factores de riesgo global y criptomonedas. Asimismo, tiene un M.A. en Economía por Rutgers University y es Licenciado en Economía por la Universidad de San Martín de Porres. El profesor Bazán ha realizado labores de investigación en el National Bureau of Economic Research (NBER), el Center for International Policy Studies (CIPS) de Fordham University, el Centro para la Competitividad y Desarrollo (CCD) y el Instituto del Perú. Sus investigaciones han sido publicadas en International Economics, Finance Research Letters, Structural Change and Economic Dynamics, entre otras revistas especializadas. De igual manera, por su dedicación académica, ha recibido numerosas distinciones como el Premio Fundación Ramón Areces de la Asociación Española de Economía (2018), Doctor Manuel Noriega Morales del Banco de Guatemala (2017), GSAS Summer Research Fellowship (2017), GSAS Summer Graduate Assistantship (2016), Professional Development Grant Fall (2016), Luis Felipe De las Casas Grieve del Banco Central de Reserva del Perú (2010), Concurso de Investigación CIES (2009), entre otros.