Bitcoin Volatility Spillovers: A Network Analysis of Crypto and Macro-Financial Interconnectedness Restricted; Files Only
Jin, Yifeng (Spring 2026)
Abstract
Bitcoin has been known for its high price volatility and lack of intrinsic value since it was released. It used to be regarded as an isolated and purely speculative asset. But recent research found that there is a market mechanism that determines its price and a connection between bitcoin and traditional financial assets as well as the macroeconomy. Using the variance decomposition method developed by FX Diebold, we constructed and analyzed the spillover network of Bitcoin and various cryptocurrencies, financial assets, and macroeconomic indicators selected by an LASSO-VAR process. A rolling window analysis shows a high level of connectedness within this network and a surge of connectedness during global crises. And the topology of the spillover network reveals that the traditional financial markets and the cryptocurrency market are more connected within markets than between markets.
Table of Contents
Introduction Literature Review Methodology Data Selection Calculation of Volatility Connectedness Analysis LASSO VAR for variable selection Results Selected Variables Overall Spillover Directional Overall Spillover Pairwise Spillover Conclusion
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File download under embargo until 28 May 2028 | 2026-04-04 15:08:13 -0400 | File download under embargo until 28 May 2028 |
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