Browsing by Author "Gupta, Himani"
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- Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: a TVP-VAR analysisPublication . Younis, Ijaz; Gupta, Himani; Du, Anna Min; Shah, Waheed Ullah; Hanif, WaqasDecentralized finance (DeFi) has become of significant interest for investors in both the financial and digital sectors. We use a time -varying parameter vector autoregression (TVP-VAR) approach to estimate the static and dynamic connections between and within DeFi, G7 banking, and equity markets. We focus on critical events such as the COVID-19 pandemic, the cryptocurrency bubble, and the Russia -Ukraine conflict. The results highlight interconnectedness and significant spillovers within and between the markets, especially during the COVID-19 pandemic. Notably, there were significant spillover effects from the G7 banking and equity markets to Japan and DeFi assets. The findings demonstrate a robust connection between DeFi platforms, G7 banking, and stock markets throughout these tumultuous periods. Policymakers, investors, and entrepreneurs are recommended to keep a close eye on changes in traditional banking and equity markets to adjust the risk of DeFi assets.