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Spillovers between cryptocurrencies and financial markets in a global framework

Darko B. Vuković, Michael Frömmel (UGent) , Samuel A. Vigne and Vyacheslav Zinovev
(2025) JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 150.
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Abstract
We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.
Keywords
Bayesian Global Vector Autoregression, Spillover, Cryptocurrencies, BITCOIN, ECONOMY, ASSETS, GARCH, Global Financial Market

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Citation

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MLA
Vuković, Darko B., et al. “Spillovers between Cryptocurrencies and Financial Markets in a Global Framework.” JOURNAL OF INTERNATIONAL MONEY AND FINANCE, vol. 150, 2025, doi:10.1016/j.jimonfin.2024.103235.
APA
Vuković, D. B., Frömmel, M., Vigne, S. A., & Zinovev, V. (2025). Spillovers between cryptocurrencies and financial markets in a global framework. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 150. https://doi.org/10.1016/j.jimonfin.2024.103235
Chicago author-date
Vuković, Darko B., Michael Frömmel, Samuel A. Vigne, and Vyacheslav Zinovev. 2025. “Spillovers between Cryptocurrencies and Financial Markets in a Global Framework.” JOURNAL OF INTERNATIONAL MONEY AND FINANCE 150. https://doi.org/10.1016/j.jimonfin.2024.103235.
Chicago author-date (all authors)
Vuković, Darko B., Michael Frömmel, Samuel A. Vigne, and Vyacheslav Zinovev. 2025. “Spillovers between Cryptocurrencies and Financial Markets in a Global Framework.” JOURNAL OF INTERNATIONAL MONEY AND FINANCE 150. doi:10.1016/j.jimonfin.2024.103235.
Vancouver
1.
Vuković DB, Frömmel M, Vigne SA, Zinovev V. Spillovers between cryptocurrencies and financial markets in a global framework. JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 2025;150.
IEEE
[1]
D. B. Vuković, M. Frömmel, S. A. Vigne, and V. Zinovev, “Spillovers between cryptocurrencies and financial markets in a global framework,” JOURNAL OF INTERNATIONAL MONEY AND FINANCE, vol. 150, 2025.
@article{01JJYC7W0BTN1YPPWZA9XEHGJ7,
  abstract     = {{We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.}},
  articleno    = {{103235}},
  author       = {{Vuković, Darko B. and Frömmel, Michael and Vigne, Samuel A. and Zinovev, Vyacheslav}},
  issn         = {{0261-5606}},
  journal      = {{JOURNAL OF INTERNATIONAL MONEY AND FINANCE}},
  keywords     = {{Bayesian Global Vector Autoregression,Spillover,Cryptocurrencies,BITCOIN,ECONOMY,ASSETS,GARCH,Global Financial Market}},
  language     = {{eng}},
  pages        = {{25}},
  title        = {{Spillovers between cryptocurrencies and financial markets in a global framework}},
  url          = {{http://doi.org/10.1016/j.jimonfin.2024.103235}},
  volume       = {{150}},
  year         = {{2025}},
}
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