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Flip the coin: Heads, tails or cryptocurrencies?

Author

Listed:
  • António Portugal Duarte

    (University of Coimbra, Centre for Business and Economics Research, CeBER and Faculty of Economics)

  • Fátima Sol

    (Univ of Coimbra, CeBER, Faculty of Economics)

  • Nuno Baetas da Silva

    (Ph.D. Student at Faculty of Economics, University of Coimbra)

  • Beatriz Rodrigues Vieira

    (Univ Coimbra, Faculty of Economics)

Abstract

This paper analysis and compares the volatility of seven cryptocurrencies – Bitcoin, Dogecoin, Ethereum, BitcoinCash, Ripple, Stellar and Litecoin – to the volatility of seven centralized currencies – Yuan, Yen, Canadian Dollar, Brazilian Real, Swiss Franc, Euro and British Pound. We estimate GARCH models to analyze their volatility. The results point to a considerably high volatility of cryptocurrencies when compared to that of centralized currencies. Therefore, we conclude that cryptocurrencies still fall far short of fulfilling all the requirements to be considered as a currency, specifically regarding the functions of store of value and unit of account.

Suggested Citation

  • António Portugal Duarte & Fátima Sol & Nuno Baetas da Silva & Beatriz Rodrigues Vieira, 2023. "Flip the coin: Heads, tails or cryptocurrencies?," CeBER Working Papers 2023-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
    • Handle: RePEc:gmf:papers:2023-02
    as

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    References listed on IDEAS

    as
    1. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
    2. Steinmetz, Fred & von Meduna, Marc & Ante, Lennart & Fiedler, Ingo, 2021. "Ownership, uses and perceptions of cryptocurrency: Results from a population survey," Technological Forecasting and Social Change, Elsevier, vol. 173(C).
    3. 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.
    4. Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020. "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Centralized currencies; cryptocurrencies; GARCH models; volatility.;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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