Analysis of dynamic connectedness relationships between cryptocurrency, NFT and DeFi assets: TVP-VAR approach

Akkus H. T., DOĞAN M.

Applied Economics Letters, 2023 (SSCI) identifier

  • Publication Type: Article / Article
  • Publication Date: 2023
  • Doi Number: 10.1080/13504851.2023.2216437
  • Journal Name: Applied Economics Letters
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, EconLit, Geobase, Public Affairs Index, Veterinary Science Database, DIALNET
  • Keywords: Crypto asset, Cryptocurrency, DeFi, NFT, TVP-VAR approach
  • Bilecik Şeyh Edebali University Affiliated: Yes

Abstract

The aim of this study is to analyse the dynamic connectedness relationship (DCR) between cryptocurrency, NFT, and DeFi assets. In the study, two cryptocurrencies consisting of Bitcoin and Ethereum, two NFTs consisting of Tezos and The Sandbox, and two DeFi assets consisting of Chainlik and Uniswap were analysed. The results showed that Ethereum cryptocurrency and Chainlink DeFi assets spilled volatility to other crypto assets. The other variables were assets that received volatility, and the volatility spillover relationship between NFT assets is less than other crypto assets.