摘要
This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries:the developed G7 and the emerging BRICS.The methodology adopts the regular(R)-vine copula and compares it with two benchmark models:the multivariate t copula and the dynamic conditional correlation(DCC)GARCH model.Moreover,this study examines whether the Bitcoin meltdown of 2013,selloff of 2018,COVID-19 pandemic,2021 crash,and the Russia-Ukraine conflict impact the linkage with conventional currencies.The results indicate that for both currency baskets,R-vine beats the benchmark models.Hence,the dependence is better modeled by providing sufficient information on the shock transmission path.Furthermore,the cross-market linkage slightly increases during the Bitcoin crashes,and reaches significant levels during the 2021 and 2022 crises,which may indicate the end of market isolation of the virtual currency.
