[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/riibaf/v65y2023ics0275531923000351.html
   My bibliography  Save this article

Directional predictability from central bank digital currency to cryptocurrencies and stablecoins

Author

Listed:
  • Ayadi, Ahmed
  • Ghabri, Yosra
  • Guesmi, Khaled
Abstract
This paper investigates the interaction and the directional predictability between the central bank digital currencies (CBDCs) and the major cryptocurrencies and stablecoins during the period between 17 May, 2019–31 December, 2021. To this aim, we employ the "Cross-Quantilogram” model, to examine how and whether the traditional digital currencies react to the CBDC uncertainty and attention shocks. Our findings suggest that CBDC uncertainty index is negatively related to cryptocurrency and stablecoin returns. Furthermore, the CBDC attention index is negatively associated with Bitcoin, Ethereum, XPR and Terra USD, however, it is positively related to Tether, Binance, USD Coin and Dai. Our results are useful for regulators, investors and policy makers, to understand and assess the potential effect of CBDC adoption news on the volatility of the stablecoins and traditional cryptos.

Suggested Citation

  • Ayadi, Ahmed & Ghabri, Yosra & Guesmi, Khaled, 2023. "Directional predictability from central bank digital currency to cryptocurrencies and stablecoins," Research in International Business and Finance, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000351
    DOI: 10.1016/j.ribaf.2023.101909
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531923000351
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ribaf.2023.101909?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    2. Donato Masciandaro, 2018. "Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 540-550, December.
    3. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
    4. Tata, Fidelio, 2023. "Proposing an interval design feature to Central Bank Digital Currencies," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Mr. John Kiff & Jihad Alwazir & Sonja Davidovic & Aquiles Farias & Mr. Ashraf Khan & Mr. Tanai Khiaonarong & Majid Malaika & Mr. Hunter K Monroe & Nobu Sugimoto & Hervé Tourpe & Peter Zhou, 2020. "A Survey of Research on Retail Central Bank Digital Currency," IMF Working Papers 2020/104, International Monetary Fund.
    6. Morgan, Jamie, 2022. "Systemic stablecoin and the defensive case for Central Bank Digital Currency: A critique of the Bank of England’s framing," Research in International Business and Finance, Elsevier, vol. 62(C).
    7. Yen, Kuang-Chieh & Cheng, Hui-Pei, 2021. "Economic policy uncertainty and cryptocurrency volatility," Finance Research Letters, Elsevier, vol. 38(C).
    8. Hoang, Yen Hai & Ngo, Vu Minh & Bich Vu, Ngoc, 2023. "Central bank digital currency: A systematic literature review using text mining approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    9. Wang, Yizhi & Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa, 2022. "The Effects of Central Bank Digital Currencies News on Financial Markets," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    10. Colon, Francisco & Kim, Chaehyun & Kim, Hana & Kim, Wonjoon, 2021. "The effect of political and economic uncertainty on the cryptocurrency market," Finance Research Letters, Elsevier, vol. 39(C).
    11. Paulo Rupino Cunha & Paulo Melo & Helder Sebastião, 2021. "From Bitcoin to Central Bank Digital Currencies: Making Sense of the Digital Money Revolution," Future Internet, MDPI, vol. 13(7), pages 1-19, June.
    12. Raphael A. Auer & Giulio Cornelli & Jon Frost, 2020. "Rise of the Central Bank Digital Currencies: Drivers, Approaches and Technologies," CESifo Working Paper Series 8655, CESifo.
    13. Elsayed, Ahmed H. & Nasir, Muhammad Ali, 2022. "Central bank digital currencies: An agenda for future research," Research in International Business and Finance, Elsevier, vol. 62(C).
    14. Wu Tong & Chen Jiayou, 2021. "A study of the economic impact of central bank digital currency under global competition," China Economic Journal, Taylor & Francis Journals, vol. 14(1), pages 78-101, January.
    15. Robert Kirkby, 2018. "Cryptocurrencies and Digital Fiat Currencies," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 527-539, December.
    16. Elena V. Sinelnikova-Muryleva, 2020. "Central bank digital currencies: Potential risks and benefits," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 4.
    17. Buckley, Ross P. & Arner, Douglas W. & Zetzsche, Dirk A. & Didenko, Anton N. & Van Romburg, Lucien J., 2021. "Sovereign digital currencies: Reshaping the design of money and payments systems," Journal of Payments Strategy & Systems, Henry Stewart Publications, vol. 15(1), pages 7-22, March.
    18. Wang, Yi-Ran & Ma, Chao-Qun & Ren, Yi-Shuai, 2022. "A model for CBDC audits based on blockchain technology: Learning from the DCEP," Research in International Business and Finance, Elsevier, vol. 63(C).
    19. Borgonovo, Emanuele & Caselli, Stefano & Cillo, Alessandra & Masciandaro, Donato & Rabitti, Giovanni, 2021. "Money, privacy, anonymity: What do experiments tell us?," Journal of Financial Stability, Elsevier, vol. 56(C).
    20. David Kuo Chuen Lee & Li Yan & Yu Wang, 2021. "A global perspective on central bank digital currency," China Economic Journal, Taylor & Francis Journals, vol. 14(1), pages 52-66, January.
    21. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
    22. Marion Laboure & Markus H.‐P. Müller & Gerit Heinz & Sagar Singh & Stefan Köhling, 2021. "Cryptocurrencies and CBDC: The Route Ahead," Global Policy, London School of Economics and Political Science, vol. 12(5), pages 663-676, November.
    23. Kuehnlenz, Sophia & Orsi, Bianca & Kaltenbrunner, Annina, 2023. "Central bank digital currencies and the international payment system: The demise of the US dollar?," Research in International Business and Finance, Elsevier, vol. 64(C).
    24. Codruta Boar & Henry Holden & Amber Wadsworth, 2020. "Impending arrival - a sequel to the survey on central bank digital currency," BIS Papers, Bank for International Settlements, number 107.
    25. Yao Qian, 2019. "Central Bank Digital Currency: optimization of the currency system and its issuance design," China Economic Journal, Taylor & Francis Journals, vol. 12(1), pages 1-15, January.
    26. Sowmya Subramaniam & Madhumita Chakraborty, 2020. "Investor Attention and Cryptocurrency Returns: Evidence from Quantile Causality Approach," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(1), pages 103-115, January.
    27. Li, Rong & Li, Sufang & Yuan, Di & Zhu, Huiming, 2021. "Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis," Research in International Business and Finance, Elsevier, vol. 56(C).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wang, Guizhou & Hausken, Kjell, 2024. "Hard money and fiat money in an inflationary world," Research in International Business and Finance, Elsevier, vol. 67(PB).
    2. Gupta, Somya & Pandey, Dharen Kumar & El Ammari, Anis & Sahu, Ganesh P., 2023. "Do perceived risks and benefits impact trust and willingness to adopt CBDCs?," Research in International Business and Finance, Elsevier, vol. 66(C).
    3. Bas, Tugba & Malki, Issam & Sivaprasad, Sheeja, 2024. "Connectedness between central bank digital currency index, financial stability and digital assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    4. Hoque, Mohammad Enamul & Billah, Mabruk & Alam, Md Rafayet & Lucey, Brian, 2024. "Does news related to digital economy and central bank digital currency affect digital economy ETFs? Evidence from TVP-VAR connectedness and wavelet local multiple correlation analyses," Global Finance Journal, Elsevier, vol. 61(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Helmi, Mohamad Husam & Çatık, Abdurrahman Nazif & Akdeniz, Coşkun, 2023. "The impact of central bank digital currency news on the stock and cryptocurrency markets: Evidence from the TVP-VAR model," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Wang, Yizhi & Wei, Yu & Lucey, Brian M. & Su, Yang, 2023. "Return spillover analysis across central bank digital currency attention and cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    3. Wang, Yizhi & Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa, 2022. "The Effects of Central Bank Digital Currencies News on Financial Markets," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    4. Wang, Yi-Ran & Ma, Chao-Qun & Ren, Yi-Shuai, 2022. "A model for CBDC audits based on blockchain technology: Learning from the DCEP," Research in International Business and Finance, Elsevier, vol. 63(C).
    5. Dunbar, Kwamie, 2023. "CBDC uncertainty: Financial market implications," International Review of Financial Analysis, Elsevier, vol. 87(C).
    6. Xin, Baogui & Jiang, Kai, 2023. "Central bank digital currency and the effectiveness of negative interest rate policy: A DSGE analysis," Research in International Business and Finance, Elsevier, vol. 64(C).
    7. Gupta, Somya & Pandey, Dharen Kumar & El Ammari, Anis & Sahu, Ganesh P., 2023. "Do perceived risks and benefits impact trust and willingness to adopt CBDCs?," Research in International Business and Finance, Elsevier, vol. 66(C).
    8. Hoang, Yen Hai & Ngo, Vu Minh & Bich Vu, Ngoc, 2023. "Central bank digital currency: A systematic literature review using text mining approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    9. Jabbar, Abdul & Geebren, Ahmed & Hussain, Zahid & Dani, Samir & Ul-Durar, Shajara, 2023. "Investigating individual privacy within CBDC: A privacy calculus perspective," Research in International Business and Finance, Elsevier, vol. 64(C).
    10. Dunbar, Kwamie & Treku, Daniel N., 2024. "Examining the impact of a central bank digital currency on the access to banking," International Review of Financial Analysis, Elsevier, vol. 93(C).
    11. Hoque, Mohammad Enamul & Billah, Mabruk & Alam, Md Rafayet & Lucey, Brian, 2024. "Does news related to digital economy and central bank digital currency affect digital economy ETFs? Evidence from TVP-VAR connectedness and wavelet local multiple correlation analyses," Global Finance Journal, Elsevier, vol. 61(C).
    12. Li, Fangmin & Yang, Tianle & Du, Min & Huang, Miao, 2023. "The development fit index of digital currency electronic payment between China and the one belt one road countries," Research in International Business and Finance, Elsevier, vol. 64(C).
    13. Alfar, Abdelrahman J.K. & Kumpamool, Chamaiporn & Nguyen, Dung T.K. & Ahmed, Rizwan, 2023. "The determinants of issuing central bank digital currencies," Research in International Business and Finance, Elsevier, vol. 64(C).
    14. Agur, Itai & Ari, Anil & Dell’Ariccia, Giovanni, 2022. "Designing central bank digital currencies," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 62-79.
    15. Ngo, Vu Minh & Van Nguyen, Phuc & Nguyen, Huan Huu & Thi Tram, Huong Xuan & Hoang, Long Cuu, 2023. "Governance and monetary policy impacts on public acceptance of CBDC adoption," Research in International Business and Finance, Elsevier, vol. 64(C).
    16. Luu, Hiep Ngoc & Nguyen, Canh Phuc & Nasir, Muhammad Ali, 2023. "Implications of central bank digital currency for financial stability: Evidence from the global banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    17. Elsayed, Ahmed H. & Gozgor, Giray & Yarovaya, Larisa, 2022. "Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices," Finance Research Letters, Elsevier, vol. 47(PB).
    18. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    19. Dionysopoulos, Lambis & Marra, Miriam & Urquhart, Andrew, 2024. "Central bank digital currencies: A critical review," International Review of Financial Analysis, Elsevier, vol. 91(C).
    20. Rehman, Mubeen Abdur & Irfan, Muhammad & Naeem, Muhammad Abubakr & Lucey, Brian M. & Karim, Sitara, 2023. "Macro-financial implications of central bank digital currencies," Research in International Business and Finance, Elsevier, vol. 64(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000351. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.