Cryptocurrencies responses to the Covid-19 waves

We investigate in this paper the evolution of the dynamic relationship between Covid-19 cases and cryptocurrency markets. Furthermore, we examine their sensitivity to the second wave period. Using a DCC-garch model, our findings show different sensitivities between cryptocurrency markets to the Covid-19 pandemic. Besides, we emphasize that the sensitivity of transaction volume in the cryptocurrency markets to the number of covid-19 cases is negatively and significantly affected by the second wave of the pandemic. Then, we underline a suspicious perception of the hedging power of the cryptocurrency market in the covid-19 period

The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?

This paper aims to test the Credit default swaps (CDS) as vectors of contagion towards the bond market, classified by maturity, during the sovereign crisis for a sample of 10 developed Eurozone countries. By implementing an approach based on a VECM model subject to several econometric tests, this paper contributes to the literature by providing conclusions about the impact of a maturity effect on the vulnerability of a sovereign bond in the contagion facing the sovereign CDS market. Our findings suggest that the dynamic relationship between the CDS market and the public bond market is significantly related to the quality of the debt studied