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Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks

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  • Yousaf, Imran
  • Goodell, John W.

Abstract

We examine the connectedness between CBDC uncertainty, cryptocurrency policy uncertainty (UCRY policy), cryptocurrency price uncertainty (UCRY price), and digital payment stock returns and volatility using data from November 20, 2015, to December 30, 2022. We find CBDC uncertainty is a net recipient, while UCRY policy and UCRY price are net transmitters. Most digital payment stocks are net recipients except for the three largest of VISA, Mastercard, and American Express. Finally, net pairwise connectedness shows weak connectedness between uncertainties indices and digital payment stocks, consistent with the hedging capability of digital payment stocks against the uncertainties of CBDC and cryptocurrency markets.

Suggested Citation

  • Yousaf, Imran & Goodell, John W., 2023. "Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001381
    DOI: 10.1016/j.frl.2023.103765
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    More about this item

    Keywords

    CBDC uncertainty; UCRY policy; UCRY price; Digital payment stocks; Spillover;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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