Stablecoins and emerging market currencies: A time-varying analysis

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dc.authorid0000-0002-1401-2016
dc.authorid0000-0002-5131-577X
dc.authorid0000-0002-0685-7641
dc.authorid0000-0001-9629-3036
dc.contributor.authorNapari, Ayuba
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorKaplan, Muhittin
dc.contributor.authorVergil, Hasan
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2025-02-14T09:37:17Z
dc.date.available2025-02-14T09:37:17Z
dc.date.issued2025
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.description.abstractPurpose: Owing to the growing evidence of crypto asset connectedness and correlation with traditional financial assets, this study sought to determine if there is a time-varying correlation and/or connectedness between the stablecoin market and the currencies of emerging market and developing economies (EMDEs) with significant cryptocurrency penetration. Design/methodology/approach: This study uses a probabilistic principal component analysis (PPCA) to create stablecoin and EMDEs currency returns and volatility indices for EMDEs with significant cryptocurrency penetration. We then employ a time-varying correlation and time-varying parameter vector autoregressive (TVP-VAR) connectedness measures to document the time-dependent correlation and connectedness between the EMDE currencies and the stablecoin market. Findings: The result points to a spillover of return shocks from the EMDE currencies to the stablecoin market prior to and after the COVID-19 pandemic. This is indicative of a flight-to-safety role of stablecoins for EMDE currencies. This calls for increased attention to the stablecoin market by money market investors and monetary authorities. Originality/value: The paper contributes to the growing cryptocurrency and finance literature by empirically examining the level of connectedness between stablecoins and emerging market currencies. Knowing the relationship (correlation) and shock spillover (connectedness) between the stablecoins and the EMDE currencies will be valuable to currency investors’ diversification and hedging strategies, and to macroeconomic policymakers in designing and implementing regulation.
dc.identifier.citationNapari, A., Khan, A. I., Kaplan, M. & Vergil, H. (2025). Stablecoins and emerging market currencies: A time-varying analysis. Digital Transformation and Society, 1-26. https://www.doi.org/10.1108/DTS-09-2024-0167
dc.identifier.doi10.1108/DTS-09-2024-0167
dc.identifier.endpage26
dc.identifier.issn2755-0761
dc.identifier.scopus2-s2.0-85216954157
dc.identifier.scopusqualityQ4
dc.identifier.startpage1
dc.identifier.urihttps://www.doi.org/10.1108/DTS-09-2024-0167
dc.identifier.urihttps://hdl.handle.net/20.500.12154/3202
dc.indekslendigikaynakScopus
dc.institutionauthorNapari, Ayuba
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorKaplan, Muhittin
dc.institutionauthorVergil, Hasan
dc.institutionauthorid0000-0002-1401-2016
dc.institutionauthorid0000-0002-5131-577X
dc.institutionauthorid0000-0002-0685-7641
dc.institutionauthorid0000-0001-9629-3036
dc.language.isoen
dc.publisherEmerald Publishing
dc.relation.ispartofDigital Transformation and Society
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - İdari Personel
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectEmerging Markets
dc.subjectExchange Rates
dc.subjectSpillover
dc.subjectStablecoins
dc.subjectVolatility
dc.titleStablecoins and emerging market currencies: A time-varying analysis
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication04e6333a-2ec2-4c28-a02b-c49e3f178e90
relation.isAuthorOfPublication4ddbbf27-866d-4382-b789-9235bdb902c0
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
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