比特币与传统金融市场之间的风险溢出：基于期望的方法

Risk Spillover between Bitcoin and Conventional Financial Markets: AnExpectile-Based Approach

作者：

张跃军

艾莉·布瑞（Elie Bouri）

兰甘古普塔（Rangan Gupta）

We challenge the existing literature that points to the detachment of Bitcoin from theglobal financial system. We use daily data from August 17, 2011 - February 14, 2020and apply a risk spillover approach based on expectiles. Results show reasonableevidence to imply the existence of downside risk spillover between Bitcoin and fourassets (equities, bonds, currencies, and commodities), which seems to be timedependent. Our main findings have implications for participants in both the Bitcoinand the traditional financial markets for the sake of asset allocation, and riskmanagement. For policy makers, our findings suggest that Bitcoin should bemonitored carefully for the sake of financial stability.
我们对现有的文献提出挑战，这些文献指出比特币已脱离全球金融体系。我们使用2011年8月17日至2020年2月14日的每日数据，并应用基于期望的风险溢出方法。结果显示合理的证据表明，比特币与四种资产（股票，债券，货币和商品）之间存在下行风险溢出效应，这似乎与时间有关。为了资产分配和风险管理，我们的主要发现对比特币和传统金融市场的参与者都有影响。对于政策制定者，我们的发现表明，为了财务稳定，应仔细监控比特币。