金融与财务学系列讲座之302期

时   间：2024年4月16日（周二）13:30-15:00

地   点：史带楼504室

主   题：Spillover Between Cryptocurrencies and Financial Markets in a Global Framework

主讲人：Darko B. Vuković   Chief Expert, Saint Petersburg University

摘   要：

We apply the Bayesian Global Vector Autoregression (BGVAR) model to investigate the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. Our results reveal that these spillover effects are not confined to a specific set of countries but rather exhibit a global reach. We demonstrate that shocks originating in the cryptocurrency market have a detrimental impact on stock markets and exchange rates. These shocks are typically of moderate magnitude and short duration, suggesting that cryptocurrency primarily functions as a short-term negative shock mediator. Notably, to the best of our knowledge, this study represents the first implementation of the GVAR model in the context of the cryptocurrency market.

简   介：

Dr. Darko B. Vukovic is GSOM Chief Expert (Scientific director) in the International Laboratory at Saint Petersburg University. Dr. Vukovic also serves as the Head of the International Laboratory for Finance and Financial Markets at the Faculty of Economics, People’s Friendship University of Russia, in Moscow, Russia, and as a Full professor of Belgrade Banking Academy, Belgrade, Serbia. He serves as a guest professor at the Fudan School of Economics. The research interest of Dr. Vukovic is in digital finance, financial markets, financial forecasting, machine learning in finance, financial risk management and investment finance. He has published more than 80 papers indexed in leading index databases: Web of Science, Scopus and ABS (CABS), including leading journals in the field of finance and financial forecasting.

金融与财务学系

2024-4-12