Preliminary communication
https://doi.org/10.17818/EMIP/2025/23
SAFE HAVEN OR SOURCE OF CONTAGION? ANALYZING THE MUTUAL INFLUENCE OF CURRENCIES, CRYPTOCURRENCIES AND GOLD DURING MARKET TURBULENCE
Tea Šestanović
orcid.org/0000-0002-6279-6070
; University of Split, Faculty of Economics, Business and Tourism, Department of Quantitative Methods, Split
*
Klara Luketa
orcid.org/0009-0005-2029-7440
; OTP banka d. d., Retail Credit Risk Department, Approval and Supervision Department, Credit Risk Specialist, Split
* Corresponding author.
Abstract
This paper investigates the phenomenon of financial contagion and spillover effects, as well as their interconnections, focusing on the relationships between cryptocurrencies (Bitcoin and Ethereum), gold, and fiat currencies (US dollar, euro, and British pound). Using the DCC-MGARCH model over the period January 1, 2019 – January 1, 2023, the study analyzes the dynamic conditional correlations of returns, while the Kolmogorov-Smirnov (KS) test is employed to examine the presence of contagion in the context of the COVID crisis and the Ukraine war crisis. The Diebold-Yilmaz (DY) index is used to assess spillover effects. The results indicate that before the pandemic, Bitcoin and Ethereum had a weak negative correlation with the US dollar, acting as hedging assets, while during the pandemic, they became safe havens. Their correlation with the euro remained close to zero, reinforcing their role as hedging instruments. In relation to the British pound, they exhibited weak positive correlations, making them diversifiers. KS tests revealed a strong presence of contagion for cryptocurrencies and the British pound, while the DY index indicates significant volatility spillover from cryptocurrencies to all currency markets.
Keywords
financial contagion; cryptocurrencies; fiat currencies; DCC-MGARCH; spillover
Hrčak ID:
339800
URI
Publication date:
25.11.2025.
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