Table 2.
Static connectedness of the exchange rates and components of the yield curve
| Variable | BITCOIN | EURO | GBP | JPY | CHF | CAD | LEVEL | SLOPE | CURVATURE | FROM |
|---|---|---|---|---|---|---|---|---|---|---|
| BITCOIN | 99.16 | 0.03 | 0.23 | 0.01 | 0.02 | 0.3 | 0.13 | 0.05 | 0.06 | 0.84 |
| EURO | 0.03 | 51.54 | 16.85 | 4.46 | 14.98 | 10.69 | 0.28 | 0.26 | 0.92 | 48.46 |
| GBP | 0.21 | 19.4 | 59.64 | 1.79 | 6.51 | 11.37 | 0.36 | 0.28 | 0.45 | 40.36 |
| JPY | 0.03 | 5.21 | 1.96 | 60.38 | 7.17 | 0.52 | 8.09 | 8.09 | 8.54 | 39.62 |
| CHF | 0.02 | 17.41 | 6.63 | 7.14 | 59.95 | 3.18 | 0.88 | 1 | 3.78 | 40.05 |
| CAD | 0.18 | 13.58 | 12.11 | 0.49 | 3.5 | 64.42 | 2.91 | 2.59 | 0.21 | 35.58 |
| LEVEL | 0.03 | 0.45 | 0.32 | 5.74 | 0.81 | 1.98 | 43.85 | 38.9 | 7.92 | 56.15 |
| SLOPE | 0.02 | 0.36 | 0.22 | 5.62 | 0.88 | 1.69 | 38.2 | 42.01 | 11 | 57.99 |
| CURVATURE | 0.03 | 1.12 | 0.45 | 8.01 | 3.6 | 0.54 | 11.23 | 15.28 | 59.73 | 40.27 |
| TO | 0.54 | 57.57 | 38.77 | 33.26 | 37.46 | 30.27 | 62.09 | 66.46 | 32.88 | TCI |
| NET | − 0.3 | 9.11 | − 1.59 | − 6.35 | − 2.59 | − 5.31 | 5.94 | 8.47 | − 7.39 | 39.92 |
The table presents the static analysis of the full sample of the exchange rates of Bitcoin and safe haven currencies (EURO, GBP = Great British Pound, JPY = Japanese Yen, CHF = Swiss Franc, CAD = Canadian Dollar) and the components of the US yield curve (Level, Slope and Curvature). ‘From’ (last column) mean spillover of the system of all other variables to the variable. ‘TO’ (second to last row) shows spillover from each variable to the system of all other variables. Net (last row) shows the net directional spillover of each variable. TCI (bold right bottom corner) is the total connectedness index of the system of all variables