Based on coverage of over 660m news stories from LexisNexis News & Business between 2015-2021, we provide two new indices around the growing area of Central Bank Digital Currency (CBDC): the CBDC Uncertainty Index (CBDCUI) and CBDC Attention Index (CBDCAI). We show that both indices spiked during news related to new developments in CBDC and in relation to digital currency news items. We demonstrate that CBDC indices have a significant negative relationship with the volatilities of the MSCI World Banks Index, USEPU, and the FTSE AllWorld Index, and positive with the volatilities of cryptocurrency markets, foreign exchange markets, bond markets, VIX, and gold. Our results suggest that financial markets are more sensitive to CBDC Uncertainty than CBDC Attention as proxy by these indices. These findings contain useful insights to individual and institutional investors, and can guide policymakers, regulators, and the media on how CBDC evolved as a barometer in the new digital-currency era.

The Effects of Central Bank Digital Currencies News on Financial Markets / Wang, Y.; Lucey, B. M.; Vigne, Samuel Alexandre; Yarovaya, L.. - In: TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE. - ISSN 0040-1625. - 180:(2022), pp. 1-39. [10.1016/j.techfore.2022.121715]

The Effects of Central Bank Digital Currencies News on Financial Markets

Vigne, S. A.;
2022

Abstract

Based on coverage of over 660m news stories from LexisNexis News & Business between 2015-2021, we provide two new indices around the growing area of Central Bank Digital Currency (CBDC): the CBDC Uncertainty Index (CBDCUI) and CBDC Attention Index (CBDCAI). We show that both indices spiked during news related to new developments in CBDC and in relation to digital currency news items. We demonstrate that CBDC indices have a significant negative relationship with the volatilities of the MSCI World Banks Index, USEPU, and the FTSE AllWorld Index, and positive with the volatilities of cryptocurrency markets, foreign exchange markets, bond markets, VIX, and gold. Our results suggest that financial markets are more sensitive to CBDC Uncertainty than CBDC Attention as proxy by these indices. These findings contain useful insights to individual and institutional investors, and can guide policymakers, regulators, and the media on how CBDC evolved as a barometer in the new digital-currency era.
CBDC, Uncertainty and attention index, Market effect, SVAR, DCC-GJR-GARCH
The Effects of Central Bank Digital Currencies News on Financial Markets / Wang, Y.; Lucey, B. M.; Vigne, Samuel Alexandre; Yarovaya, L.. - In: TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE. - ISSN 0040-1625. - 180:(2022), pp. 1-39. [10.1016/j.techfore.2022.121715]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/222585
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