Financial Contagion Investigation of the Systemic Risk of Currency and Cryptocurrency in the Global Financial Markets (BEKK Approach)

Subject Areas : Financial engineering

Ali Baghban ¹ , Reza Gholami Jamkarani ² , Mir Feyz Fallah ³ , Hamidreza Kordlouie ⁴

1 - Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran
2 - Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran
3 - Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and member of Modern Financial Risk Research Group
4 - Department Business Administration, Islamshahr Branch, Islamic Azad University,Islamshahr, Iran and member of Modern Financial Risk Research Group

Received: 2021-11-29 Accepted : 2022-01-04 Published : 2022-09-23

Keywords: Systemic Risk, Cryptocurrency, Financial Contagion,

Abstract :

The present study has investigated the contagious risk of turbulence.In this study, the contagious effect of real and virtual currency (Bitcoin) fluctuations has been measured. In this regard, the method of self-regression vector analysis (VAR) and the conditional autoregressive model on the heterogeneity of multivariate generalized variances (MGARCH) have been used.The data used in this study, including the exchange rate of the dollar based on the euro and the price of bitcoin in the period 01/2015 and 2020/01, were collected and examined by the generalized multivariate conditional variance heterogeneity (BEKK) method. The present study is based on the classification of research based on method, nature and direction, respectively descriptive survey, applied and post-event. The results of this study confirm the relationship between the volatility of real currency and virtual currency. In other words, the main hypothesis of the research on the contagion of virtual and real exchange rate fluctuations has been confirmed unilaterally from virtual exchange rate to real exchange rate.