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Mei-yin Lin
 
''The impacts of cryptocurrency shocks on emerging market currencies: evidence from quantile regression''
( 2023, Vol. 43 No.4 )
 
 
This paper employs the quantile regression model to investigate the impacts of cryptocurrency shocks on 17 emerging market currencies. The finding shows that cryptocurrency returns significantly influence the exchange rates of emerging market currencies at both lower and higher quantiles. These effects can be positive or negative during normal periods. However, during periods of turmoil, an increase in cryptocurrency returns leads to a depreciation effect on the majority of emerging market currencies.
 
 
Keywords: Cryptocurrency, Emerging market currency, Quantile regression model
JEL: F3 - International Finance: General
E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
 
Manuscript Received : Aug 04 2023 Manuscript Accepted : Dec 30 2023

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