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arXiv · 2211.16176

Mechanism of information transmission from a spot rate market to crypto-asset markets

Takeshi Yoshihara·Taisei Kaizoji
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Abstract

We applied the SVAR-LiNGAM to illustrate the causal relationships between the spot exchange rate, and three crypto-asset exchange rates, Bitcoin, Ethereum, and Ripple. It was notable that the causal order, the EUR_USD spot rate->Bitcoin->Ethereum->Ripple, was obtained by this approach. All the instantaneous effects were strongly positive. Moreover, it was notable that Bitcoin can influence the EUR_USD spot rate positively with a one-day time lag.

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Takeshi Yoshihara, Taisei Kaizoji. 2022-11-29. Mechanism of information transmission from a spot rate market to crypto-asset markets. https://arxiv.org/abs/2211.16176

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