Download or read book New Evidence on Spillovers Between Crypto Assets and Financial Markets written by Roshan Iyer and published by International Monetary Fund. This book was released on 2023-09-29 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze returns and volatility spillovers among a representative set of crypto and financial assets. The magnitude of spillovers increases during periods of heightened turbulence due to negative economic-financial news, crypto market events, or exogenous shocks. There is evidence of increasing spillovers over time, with a peak during the COVID-19 pandemic, implying growing interdependence. Crypto assets predominantly transmit spillovers to financial markets, though reversals occur during periods of financial stress. The increased correlation during risk-off episodes suggests that crypto assets could serve as important conduits for financial market shocks, generating financial stability risks.