Research
Under the Spell of Cryptos? Crypto-Equity Spillovers and the Role of Market Integration
This paper investigates time-varying spillovers between 4 major crypto-assets and equity markets across 20 emerging and developed markets using a TVP-VAR model. We show that financial integration significantly increases the exposure of crypto-assets to equity shocks, and simultaneously creates a contagion channel running from crypto-assets to equity markets.
Crypto-Assets Financial Instability: A Tale of Two Tails
We develop a rolling quantile-regression framework to classify crypto-assets monthly as Financially Instable (FI), Financially Fragile (FF), or Stable. We then back-test equally-weighted portfolios sorted on this classification and show that FI/FF timing generates significant out-of-sample alpha relative to a Top-10 benchmark.
Do CBDCs Crowd Out Stablecoins? Evidence from Central Bank Communication
Using a novel corpus of 635 BIS central bank speeches (2018–2026), we apply LLM-based sentiment classification (Jev model) to construct monthly CBDC stance and sentiment indices. We test whether stronger pro-CBDC communication precedes a decline in stablecoin market share.