The city of Cluj-Napoca turned into the biggest real estate boom in Romania. Although wages have remained at the national average level by field of activity, the price of housing tends to take such a large scale that it exceeds the amount of real estate in many European countries and cities. The community of ordinary, honest and industrious people sees themselves excluded from their own city, suffering because of this price explosion which has an impact in all social spheres. The explanation that the price level is due to the large number of students and computer scientists is easy and convenient for the authorities who do not really have reactions, answers and solutions. KEYWORDS: accommodation, maximum profit, corruption, computer scientists, real estate, money laundering, indolence, incompetence, complicity, community suffering, emigration, solutions. J.E.L. Classifications: R31, R23, O18 1. ARGUMENT After December 1989 in Cluj-Napoca there were phenomena and facts prominently highlighted on the national socio-economic map: the Caritas pyramid megagame, the FNI scam guaranteed in the end by the CEC, the bankruptcy of the largest private Bank "Dacia Felix", the headquarters of two antagonistic national parties UDMR and PUNR and very important, in the long term, the expansion of "BabeÈ Bolyai" University which became the largest in the country, both in terms of number of students and as the number of sections. The transformation of the number of students into an economic, not only scientific, cultural and social argument, even without coverage on the labor market, induced the increase in the number of students at all universities. It is not easy to mention "all" universities! The six state universities have a large share: "BabeÈ Bolyai" University, Technical University, University of Medicine and Pharmacy, University of Agricultural Sciences and Veterinary Medicine, University of Art and Design, Academy of Music. Along with these, the legislation after 1989 allowed the establishment of private education - "Bogdan VodÄ" University (one of the first in the city), Dimitrie Cantemir University (centered in Bucharest, but with strong branches of Law and Economic Sciences in Cluj), "Sapientia" University focused on the Hungarian community, as well as "Partium" University in Oradea which has activity in Cluj as well, as well as other higher education institutions reorganized/disbanded over time, or with more limited or meteoric activity - "Avram Iancu", "Spiru Haret", "Phoenix", the Protestant Theological Institute and we do not claim to list exhaustively. It is certain that Cluj-Napoca has the highest density of students compared to the number of inhabitants in the country. These crowds of students, about 100 thousand with master's and doctoral students, in principle, were mainly charged tuition fees and all kinds of expenses were increased, based on the well-known principle of the price that appears as a result of the competition between demand and supply. There is a very high demand in Cluj, sometimes exorbitant, the solution, the most profitable and immediate, was just to increase the prices. Given that practically no dormitories were built after 1989, (only one in the Gheorghieni District, near "Economic Sciences" - FSEGA, but it is not entirely dedicated to students) among the prices that have exploded in Cluj, the shocking is that of rents and, logically, in the next steps, real estate prices. The explanation of the large number of students and IT specialists is the most convenient in excusing apathy or anti-crime inefficiency, but it is also necessary to analyze the hypothesis if part of the pressure on prices can come from financial flows associated with organized crime. 2. POSTULATED: ORGANIZED CRIME IS INTERESTED BY THE BIGGEST PROFIT The accommodation capacity in the state dormitories is approximately 14,000-15,000 places, and the students who do not get a place in the dorm, volens-nolens, enter a rental market where a level of 300-500 euros for a studio apartment excludes young people from disadvantaged backgrounds from Cluj university studies. Many of them would have deserved to perform in Cluj! It is estimated that approximately 65,000 students live in rented accommodation annually. Most students barely pay their rent and living expenses, very few can afford to enter the property market as buyers. There is, however, one category that influences the real estate market the most - IT specialists. They influence more because they have high salaries relative to the rest of the population. However, the infusion of students and the university environment determined the explosion of the crowd of IT-scientists in Cluj-Napoca, rightly considered a "Silicon Valley" of Eastern Europe. The estimate goes up to the existence of about 30,000 IT specialists in Cluj with a number of over a thousand active IT companies. All of these provide clues to the size of the rental market and the total value of real estate transactions. In 2025, Cluj county registered an approximate volume of 30,782 real estate transactions with an estimate of between 1.8 - 2.2 billion EUR annually (sources: ANCPI - National Real Estate Agency; Imobiliare.ro; Storia.ro s.a.). The rental market is more difficult to quantify, but it can be approximated by the number of residential units estimated to be in the rental circuit of at least 45-50 thousand units (apartments and rooms). Considering the data published in some specialized websites, Imobiliare.ro; Storia.ro, or of public institutions (City Hall of Cluj Napoca - floating population) we arrive at a total estimated annual value of approx. 300 million EUR. What happened in the USA during alcohol prohibition when alcohol smuggling produced a huge amount of black money? Who appeared on the market? In drugs, in human trafficking, in the smuggling of oil to Yugoslavia in the 90s, in the massive cutting of forests in countries that do not protect them, in prostitution, in gambling and betting, wherever, when the stake of a very large profit appears, even if it is illegal, who undoubtedly appears? Popular wisdom has an expression that captures the phenomenon: "Let it be, because frogs gather!" Is there a risk that part of the real estate market in Cluj or in Romania will be accessed, influenced or even controlled by organized crime? The clearest proof of the influence of organized crime is the huge number of homes sold that remain unoccupied! Between 18,000 and 24,000 housing units, depending on the information sources, in Cluj-Napoca alone. Thousands of apartments are bought for hoarding. Rising property prices coupled with very low interest rates offered by banks on savings have made buying an additional home an investment for anyone who can afford it. But it is also a classic method of money laundering where the goal is not the profit from the rent, but the legalization of the initial amount through subsequent resale. REAL ESTATE IS FAVORITE TO BE A "SAFE HAVEN" (SAFE REFUGE) FOR ILLICIT CAPITAL Although the presence of the IT sector and students would lead to the thought of a constant demand, especially in the conditions in which a salary recession in IT is foreseen (it actually took place), the hyperbolic evolution of real estate prices in Cluj cannot be justified. Practically, these real estate prices have been decoupled from the real purchasing power of the average salary, even if this "average", in Cluj, contains a lot of IT. Who does the disconnection? A working student, a programmer even with an above-average income is subject to the bank lending grids. When the price per square meter exceeds the threshold of 3000 euros/sq m, or in special areas/center, over 5000 euros/sq m, they become unaffordable for the middle class through mortgage credit. Everyone knows that high prices are supported with "cash", which highlights sources of financing external to the transparent banking system, specific to organized crime that needs to "clean" financial funds of dubious origin as quickly as possible. It's like a geometric law, a postulate, it's just like that, but even if it's like that, it's certainly not a proof on file, it's just an assumption. There are institutions that, based on some laws, will look for this evidence, being within their competence. Some authors on economic crime suggest that real estate markets in fast-growing cities may become vulnerable to the infiltration of capital from illicit activities (Unger, 2021). The real estate sector is recognized as a classic instrument for money laundering, including the profits from drug trafficking (FATF, 2019). An interesting work in the field is by a collective led by Klitgaard Robert "Corrupt Cities: Practical Guide to Institutional Reform". These specialists identify three main mechanisms: money laundering through real estate investments because real estate offers: high and relatively stable value; the possibility of justifying the origin of the funds; integration into the formal economy. capital reinvested from the drug market. According to the UN Office on Drugs and Crime (UNODC), the drug market generates hundreds of billions of USD annually globally (UNODC, 2023). Part of these funds are reinvested in: residential real estate; commercial premises; urban developments. In Europe, studies on cities such as Amsterdam or Barcelona have shown correlations between the underground economy and speculative real estate investments (Savona, 2020). the third mechanism refers to demand distortion. Is it the case of Cluj? preservation of value; anonymization of property; integration into the legal circuit. Thus, artificial demand can push prices above the level determined strictly by legitimate supply and demand. COMPETENT INSTITUTIONS, CASE STUDY AND THE THREAT NARCO TRAFFIC Combating the phenomenon would require the coordinated action of several institutions: Directorate for the Investigation of Organized Crime and Terrorism (DIICOT) National Anticorruption Directorate (DNA) National Office for the Prevention and Combating of Money Laundering (ONPCSB) National Fiscal Administration Authority (ANAF) General Inspectorate of the Romanian Police (IGPR) Law no. 656/2002 on the prevention and sanctioning of money laundering Law no. 143/2000 on preventing and combating drug trafficking and illicit drug consumption Criminal Code (art. 367 â organized criminal group) Examples of relevant files: Romania 2020 â DIICOT file on drug trafficking and money laundering through real estate purchases in Bucharest (DIICOT public release); 2022 â File regarding an organized criminal group involved in tax fraud and real estate investments (Bucharest Court of Appeal), 2023 â Case instituted by DIICOT regarding cocaine trafficking and property investments in the west of the country. Germany: Investigations coordinated by the Bundeskriminalamt (BKA) demonstrated the use of real estate for the recycling of profits from drug trafficking networks (BKA Report, 2021). Netherlands: The Financial Intelligence Unit (FIU Nederland) reported in 2022 the increase in suspicious transactions in the real estate sector in Amsterdam, associated with the drug economy. THE THREAT OF DRUG TRAFFICKING ON CLUJ. INCLUSIVE OF CLUJ REAL ESTATE Cluj-Napoca is a major university center, and the reports of the National Anti-Drug Agency indicate the existence of high consumption in the university environment (ANA, 2022). In economic theory, a city with: high consumption, logistical proximity, high purchasing power, can generate important financial flows in the underground economy. If these flows are reinvested in real estate, it results: additional pressure on demand; cash purchases; lack of price sensitivity. However, we note that no public data has been identified that accurately quantifies the weight of this phenomenon in the formation of prices in Cluj-Napoca. 6. CONCLUSIONS AND PROPOSALS It is well known that the upward spiral of real estate has a major negative impact on all components of social life. Institutions with competences in the field are expected to leave their mark more and contribute to the normalization of the perspectives of local communities, despite a lack of social reactivity typical of an increasingly aggressive, apathetic population, resigned to the idea that nothing can be done to improve living conditions. A lot can still be done, there are international anti-corruption models. Where there was political will, things got better, some negative phenomena were even eradicated, and some proposals can be extracted from those models: Extending the verification of the source of funds for transactions above a certain value threshold. Constantly checking the real prices from the real estate agencies with those declared at the notary chambers: Automatic interconnection ANAFâONPCSBâDIICOT. Complete public register of beneficial owners (in line with EU Directive 2018/843). Extended confiscation according to art. 112 Criminal Code. Romania is the country that in peacetime was condemned by pauperization, lack of perspective, systemic corruption to have the largest share of emigrant population in Europe, and of course with an unwanted leading place in the world, and all this took place in peacetime. By analogy, from the much-acclaimed "5-star city", the aberrant price spiral in Cluj-Napoca can produce similar, uncontrollable effects internally. Paraphrasing the legal admonition, we would conclude by warning, "Any silence can turn against us!" REFERENCES National Antidrug Agency (2022). National report on the drug situation in Romania. Balan, C. (2023). Urban economy and real estate market. ASE publishing house. Bundeskriminalamt (2021). Organized Crime Situation Report. Financial Action Task Force (2019). Money Laundering & Real Estate FIU Nederland (2022). Annual Report on Suspicious Transactions. Glaeser, E. (2011). Triumph of the City. Penguin Press. Klitgaard Robert s.a "Corrupt Cities: Practical Guide to Institutional Reform" Ed. Humanitas, Bucharest 2012 Marian Adrian Sorin, s.a THE STUDENT'S GUIDE, Mega Publishing House, Cluj-Napoca, 2016, Marian Adrian Sorin, "Why do Romanians emigrate?" Galaxia Gutenberg Publishing House, Cluj-Napoca, 2023, Marian Adrian s.a, Competences and milestones of training and cooperation in the public order and safety system Galaxia Gutenberg Publishing House, Cluj-Napoca, 2021 Savona, E. (2020). Organized Crime in European Cities. Springer. Unger, B. (2021). The Role of Real Estate in Money Laundering. Journal of Financial Crime. United Nations Office on Drugs and Crime (2023). World Drug Report. ***Law no. 656/2002 for the prevention and sanctioning of money laundering
We explore the feasibility of deploying Bitcoin as the shared monetary standard between Earth and Mars, accounting for physical constraints of interplanetary communication. We introduce a novel primitive, Proof-of-Transit Timestamping (PoTT), to provide cryptographic, tamper-evident audit trails for Bitcoin data across high-latency, intermittently-connected links. Leveraging Delay/Disruption-Tolerant Networking (DTN) and optical low-Earth-orbit (LEO) mesh constellations, we propose an architecture for header-first replication, long-horizon Lightning channels with planetary watchtowers, and secure settlement through federated sidechains or blind-merge-mined (BMM) commit chains. We formalize PoTT, analyze its security model, and show how it measurably improves reliability and accountability without altering Bitcoin consensus or its monetary base. Near-term deployments favor strong federations for local settlement; longer-term, blind-merge-mined commit chains (if adopted) provide an alternative. The Earth L1 monetary base remains unchanged, while Mars can operate a pegged commit chain or strong federation with 1:1 pegged assets for local block production. For transparency, if both time-beacon regimes are simultaneously compromised, PoTT-M2 (and PoTT generally) reduces to administrative assertions rather than cryptographic time-anchoring.
Erdinç Akyıldırım, Ahmet Faruk Aysan, OÄuzhan Ăepni, Shaen Corbet
This study investigates the influence of news-based sentiment on the returns of Decentralized Finance (DeFi) coins using a sample of 27 coins from January 2017 to March 2022. Our results indicate that news sentiment significantly impacts DeFi returns, with negative sentiment exerting a stronger influence than positive sentiment. Transaction volume and network security also emerge as critical drivers of DeFi coin returns. Smaller coins are more sensitive to news sentiment, showing greater return volatility. The impact of news-based sentiment is more pronounced during weekdays, likely due to reduced participation by institutional investors and trading algorithms. These findings have important implications for investors and policymakers, suggesting multiple pathways for market manipulation under specific conditions. âą We investigate the relationship between DeFi coins and news-based sentiment. âą Negative sentiment has a greater impact on returns. âą Transaction volume and network security drive returns. âą Smaller DeFi coins are more susceptible to news sentiment and greater return volatility. âą DeFi returnsâ sensitivity to news-media sentiment is significantly elevated during weekdays.
Olawale C. Olawore, Taiwo R. Aiki, Oluwatobi J. Banjo, Victor O. Okoh · 5 authors
The global financial system is now undergoing considerable instability, raising critical issues about the durability of reserve currencies. This research examines the probability of the euro surpassing the United States dollar as the predominant reserve currency, particularly in the context of heightened economic volatility and the emergence of new rivals, such as the Chinese yuan, striving for more significance in the global market. The research specifically examines the possibility of the euro surpassing the United States dollar. This research employs a mixed-methods approach to evaluate the competitiveness, credibility, and limitations of predominant reserve currencies. It does this by integrating actual reserve data from the International Monetary Fund (IMF) and the Bank for International Settlements (BIS) with theoretical concepts derived from dominant stability theory, network effects, and institutional trust. The data indicates that the dollar's supremacy has been progressively declining, from over 70% of global reserves in 2000 to around 58% by mid-2024. Robust legal frameworks, monetary credibility, and comprehensive financial markets collectively enhance the prosperity of the euro, which constitutes almost twenty. (20%,) percent of the total. The Eurozone, meanwhile, persists in facing challenges such as the lack of a fiscal union and the disunity of political leadership within the bloc. The Chinese yuan accounts for only four (4%) percent of world foreign currency reserves, notwithstanding programs like the Belt and Road and enhanced central bank swap lines promoting its utilization. China's persistent objective of sustaining a depreciated yuan to bolster its international economic competitiveness presents a considerable obstacle. Because the yuan cannot be converted into other currencies and there is uncertainty over its value over the long term, foreign central banks are unable to maintain considerable reserves of the yuan. The continued existence of concerns over capital restrictions, decreased financial transparency, and political participation has led to widespread pessimism regarding the yuan's potential to continue functioning as a reserve currency despite these factors. Based on what the study found, it seems unlikely that there will ever be a single currency that is the most important one in the world. This suggests that there is a multipolar system in which the euro, the yuan, and digital currencies like the e-CNY and the digital euro all function together in a framework for international monetary policy that is becoming more decentralized and strategically split. These changes have big effects that might change not just how the world is run, but also the trade strategy and macroeconomic policy that are already in place. These changes also make life harder for civilizations that are in other regions of the planet.
This study investigates the dynamic interplay between national currencies of the core BRICS economies and the three strongest monetary assets (US dollar, gold, Bitcoin) in the existing global financial outlook. Using data spanning the inflationary Russia-Ukraine conflict (24 February 2022 to 5 June 2025) and the innovative Quantile-VAR methodology in bear, normal and bull market conditions as expressed by quantiles insights are offered about the potential of transformation of the monetary status quo. Findings reveal that extreme market conditions strengthen the leading potential of Bitcoin and gold in early and later war phases, respectively. This abides by the pseudo-wealth and consumption fluctuations theory of Guzman and Stiglitz (2021) as higher risk-taking appears in turbulent periods for preserving and promoting growth. Shielding from inflation could also work this way. The Brazilian, Chinese and South African currencies gain prominence while the Russian currency acts as a net absorber of shocks. So the US dollar could be partly crowded out. Alterations in monetary asset allocation for investors could serve for better adapting to contemporary financial needs.
Cui-Ping Wen, KaiâHua Wang, ChiâWei Su, Xin Li · 5 authors
This study examines the impacts of bitcoin price (BTP), crude oil price (COP), and economic policy uncertainty (EPU) on Chinaâs green bonds (GBs) in a period from 2014: M10 to 2024: M04 using the quantile autoregressive distributed lag model. Results demonstrate that BTP and EPU positively and negatively affect GBs in the long-term across all quartiles, respectively, while COP enhibits insignificance. In the short-term, all variables positively affect GBs and are concentrated in the low quantiles. This study constructs a multivariate framework to explore financial linkages across markets and examines variable interactions, enriching the theoretical framework of the GB market.
Abdullah A. Aljughaiman, Mosab I. Tabash, Suzan Sameer Issa, Abdulateif A. Almulhim
Most prior studies explain cross-country volatility interconnectedness without accounting for exogenous global uncertainty factors that influence equity returns. This study is the first to explore how major global uncertainty indicators such as U.S. and European financial market uncertainty indices (CBOE volatility index (VIX), VSTOXX-50), Global Financial Stress Indices (FSI) and Bitcoin Sentiment Indices (BSI) transmit shocks to the conditional volatility of Gulf Cooperation Council (GCC) stock markets. Using a novel âExtended Jointâ time-varying parameter vector autoregression (TVP-VAR) connectedness framework, the analysis addresses rolling-window limitations, enhances robustness to outliers, accommodates structural shifts and explains the shock transmission mechanism for the overall investment horizon. To capture transitory (short-term) and enduring (long-term) shock transmission channels from global uncertainty indicators toward the GCC financial system, a frequency-domain TVP-VAR is also employed. Furthermore, for the portfolio optimization, we also employ the hedge ratio and optimal portfolio weight strategy based on the DCC-GARCH-t copulas. Findings reveal that the conditional volatility of equity markets in Oman, Qatar, Saudi Arabia and the UAE is more sensitive to shocks from global uncertainty indicators such as VIX, VSTOXX-50 and the FSI, while Bahrainâs market shows relatively lower exposure. Kuwaitâs equity market volatility exhibits the highest long-term sensitivity to FSI, VIX and VSTOXX-50, whereas the UAE demonstrates the highest sustained exposure to VIX and VSTOXX-50. Results from the DCC-GARCH-t copula model indicate that in stable periods (pre-COVID-19), optimized portfolio allocations significantly improved diversification, reducing risk by up to 83%. However, during financial stress events like COVID-19, hedge ratio strategies provided more effective risk mitigation, with reductions ranging from 3% to 43%.
Bu çalıĆmada ortaya ilk çıkarılan on kripto para getiri ve iĆlem hacimleri ile birlikte varil baĆına Batı Teksas (WTI) ham petrol getirileri arasındaki iliĆki test edilmiĆtir. Analiz için 29 Nisan 2013 â 04 AÄustos 2024 arası gĂŒnlĂŒk veriler kullanılmıĆtır. ĂalıĆmada ampirik olarak Granger ve Toda Yamamoto Nedensellik Analizi' nden yararlanılmıĆtır. Her iki analize göre WTI ile Bitcoin (BTC) arasında negatif tek yönlĂŒ iliĆkiye rastlanmıĆtır. Granger nedensellik analizine göre WTI ile Ethereum (ETH) arasında, Toda Yamamoto nedensellik analizine göre ise WTI ile Filecoin (FIL) getirisi arasında negatif çift yönlĂŒ bir nedensellik iliĆkisi olduÄu sonucuna ulaĆılmıĆtır. Elde edilen bulgular enerji fiyatlarında yaĆanan dalgalanmaların kĂŒresel finansal istikrara etkilerini ortaya koymuĆtur. Enerji piyasalarındaki sĂŒrdĂŒrĂŒlebilirlik hedefleri ile blok zinciri teknolojisinin çevresel etkilerini en aza indirgemek için uluslararası regĂŒlasyonların geliĆtirilmesi ve bĂŒtĂŒncĂŒl politikalar oluĆturulması gerekmektedir. Bu öneriler kripto para birimlerinin, enerji piyasalarından kaynaklanan volatiliteye karĆı daha dayanıklı hale getirilmesi için stratejik bir yol haritası sunmaktadır.
This study analyses the price discovery between bitcoin exchange-traded funds (ETFs) and their underlying asset (bitcoin spot) after the introduction of bitcoin ETFs on US exchanges. Using 5-min data, starting from the launch of bitcoin ETFs on 11 January 2024 and nine months later, until 11 October 2024, we calculate three price discovery measures, namely Information Share (IS), Component Share (CS) and Information Leadership Share (ILS). Our ILS results suggest that bitcoin ETFs, especially the most actively traded ETFs such as IBIT, FBTC and GBTC, dominate price discovery over bitcoin spot about 85 per cent of the time during the sample period. These findings indicate an increasing investor preference for the more accessible and liquid ETFs, supported by the US SEC approval, and underline the growing appeal of bitcoin ETFs for investors seeking efficient bitcoin exposure through brokerage accounts. The study contributes to the literature on price discovery in the cryptocurrency market and provides insights for academics, investors, regulators and policymakers.
This article examines the macroeconomic implications of central bank digital currencies (CBDCs) and private cryptocurrencies using a simple real business cycle model. The analysis explores how agents allocate their portfolios among fiat money, CBDCs and private cryptocurrencies in response to inflation shocks and technological advancements in cryptocurrency production. The model predicts that rising consumer confidence can gen-erate inflationary pressures, prompting a shift towards private cryptocurrencies, which are insulated from inflation tax. Additionally, positive shocks in cryptocurrency production can lead to capital reallocation, reducing final goods production and causing a brief spell of recession. A central bank can remarkably counteract this recessionary effect of a crypto boom by lowering the policy rate. These findings highlight the complex interplay between digital currencies and monetary policy, emphasizing the need for strategic interventions using policy rate as a tool to balance economic stability and crypto innovation. JEL Classification: E50, E52, E58
This study introduces a novel hybrid stochastic modeling framework for simulating Ethereum price dynamics by integrating Poisson and Gaussian processes. The model captures both abrupt price jumps, modeled using a Poisson process, and continuous price variations, represented by a Gaussian process. Our analysis reveals that significant price fluctuations occur approximately every 4.33 days, with an average daily return of 0.0041 and an annualized volatility of 0.8631, underscoring the extreme volatility inherent in Ethereumâs market behavior. By combining these processes, the model effectively encapsulates the intrinsic price patterns of Ethereum, including persistent oscillations and sudden surges. Simulations of future price trajectories demonstrate the modelâs efficacy in replicating real world Ethereum price dynamics, offering valuable insights for traders and analysts in devising risk management strategies and making informed decisions in highly volatile cryptocurrency markets. The findings highlight the importance of hybrid models in addressing the unique challenges of modeling Ethereumâs price behavior.
Naveed Khan, OlaOluwa S. Yaya, Xuan Vinh Vo, Hassan Zada
In this paper, we examine the volatility and time-frequency connectedness among the financial stress index (FSI), cryptocurrencies namely, Bitcoin , Ethereum, Tether, BNB, Solana, and commodities namely, Gold, Silver, Copper, Platinum, and Brent Oil, using the quantile vector autoregressive (QVAR) frequency connectedness, wavelet coherence, and hedging effectiveness techniques, for the period spanning from June 2020 to December 2023. Findings indicate that the spillover effect among FSI, cryptocurrencies, and commodities substantially varies across different volatility conditions. Also, some cryptocurrencies are net receivers of shocks during normal market conditions, while other cryptocurrencies are net transmitters during extreme market conditions. We also find that, during the bullish market, some commodities (Platinum and Brent oil) are net receivers, while other commodities are net transmitters under extreme market conditions (lower quantiles). Similarly, findings further show that, under extreme volatility conditions (higher quantiles), cryptocurrencies and commodities are net receivers of shocks, while FSI is a net transmitter during these volatility conditions. Using frequency co-movement analysis, we find strong and weak correlations between these series in the short- and long-run for shorter periods. Furthermore, findings provide important implications for policymakers and portfolio managers to pay attention to long-term dynamics and design appropriate policies that mitigate the spillover effects.
Abstract This paper examines the dynamic interplay between the global geopolitical risk and eleven decentralized finance (DeFi) digital currencies during the inflationary burden caused by the Russia-Ukraine war episodes. Daily data spanning from 13 October 2021 to 29 October 2024 and the innovative Quantile-Vector Autoregressive (Q-VAR) methodology are employed for estimating the pairwise, joint and network linkages at the lower, middle and upper quantiles. High levels of geopolitical risk are more connected with bull markets of the DeFi assets and new war episodes strengthen this relation. Geopolitical tensions combined with high inflation lead to the GPR becoming major determinant of DeFi markets so contributing to the transition to the digital decentralized cashless financial system. Maker is the leading DeFi asset in this transition and constitutes a promising successor of fiat currencies that suffer from devaluation generated by conflicts.
The aim of this research is to investigate the long-term relationships among the dollar exchange rate (TRY/USD), gold (GAU/USD), the Borsa Istanbul 100 Index (BIST 100) and the prices of Bitcoin (BTC/USD), Ethereum (ETH/USD), and Binance Coin (BNB/USD). Since the series contain structural breaks, Fourier unit root tests were used to model the structural breaks. As the method of this study, the relationships between variables in the long term were examined by using Fourier Shin (FSHIN) and Shin (1994) (SHIN) cointegration tests. The findings of this study showed that cryptocurrencies are cointegrated among themselves under structural breaks in the long term; investment instruments are cointegrated among themselves. In addition, as a result of this study, it was determined financial instruments and cryptocurrencies do not move in along over time under structural breaks.
Abstract This study examines the return connectedness between decentralized finance (DeFi)âs and the Association of Southeast Asian Nations (ASEAN) stock markets using the quantile vector autoregressive framework, which allows us to investigate the connectedness at conditional quantiles. Our sample includes four major DeFiâs and six ASEAN stock markets, spanning from March 2018 to December 2022. The static results indicate a moderate level of return transmission between the system at mean and median quantile. This propagation increases substantially under extreme market conditions, establishing an asymmetric transmission across quantiles. Despite being a relatively new asset class, DeFi dominates the equity market and acts as the primary shock transmitter to the system in most instances. The dynamic analysis reveals that total system connectedness fluctuates over time and quantiles. The total system connectedness peaked during the COVID-19 and the RussiaâUkraine conflict period, indicating the impact of global events on system transmission. The optimal weight and hedge ratio estimated using the DCC-GARCH model indicate that DeFi is beneficial for portfolio construction and risk management. The rising trend in dynamic optimal weight and hedge ratio during the COVID-19 pandemic demonstrates that investors should decrease their investments in DeFi and increase hedging costs. Therefore, portfolio managers and investors should readjust their portfolio allocation in a timely manner according to different market states to build additional effective hedging and diversification strategies to avoid large losses and to reduce portfolio risk exposure.
In this study, we examined the regime-dependent dynamics and interrelationships among major cryptocurrencies, Bitcoin (BTC), Ethereum (ETH), and Monero (XMR), using high-frequency one-minute data from January 2020 to April 2025. To capture the presence of latent structural shifts without assuming Markovian transitions, we employed a Gaussian Mixture Model (GMM), which flexibly clustered distributions into two, empirically distinct regimes. Regime-specific Vector Autoregressive (VAR) models were then estimated to analyze interdependencies, spillovers, and shock transmission mechanisms across these digital assets. In the calm regime, the return dynamics were primarily self-driven, with limited cross-asset responses. Conversely, the volatile regime exhibited stronger and more persistent interlinkages, with BTC consistently acting as the principal transmitter of shocks to ETH and XMR, while ETH acts as a secondary transmitter, whereas XMR remains largely a risk recipient, absorbing external shocks with limited feedback into the system. These findings were corroborated through impulse response functions and forecast error variance decompositions, which consistently revealed asymmetric interdependence structures across the regimes. The Granger causality indicated more stable and statistically significant causal relationships in the calm regime than in the volatile regime. Furthermore, the Bai-Perron structural break tests confirmed the absence of significant deterministic breaks in the return series, reinforcing the validity of the GMM-based regime identification. These findings have practical implications for investors, regulators, and risk managers when modeling contagion and developing risk management strategies in cryptocurrency markets, especially during periods of heightened volatility.
Muhammad Danish Khan Jumain, Abdul Hafizh Mohd Azam
Bitcoin is a new asset class in the global financial system where it is known as cryptocurrency or digital currency. Bitcoin has begun to gain the worldâs attention as the price of Bitcoin has been rising since 2009 as its usage increases day by day. The popularity of bitcoin has made some investors see it as a safe place. But is this true for the ASEAN-5 currencies? Therefore, this research paper aims to identify whether Bitcoin can act as a hedge for currencies in the ASEAN-5 countries namely Malaysia, Thailand, Indonesia, Singapore and the Philippines. This study uses daily data from December 1, 2014 until December 30, 2022. Empirical results of the study based on the GARCH (1,1) model show that Bitcoin can serve as a weak hedge for the ASEAN- 5 currencies except for Singapore where there is evidence of a strong hedge in the Lion City. This is particularly due to a unique Singapore's monetary policy tools which are based on their exchange rate unlike with other countries that mainly use interest rate as their tool.
ABSTRACT This paper provides a first economic analysis of liquid staking tokens, which are derivatives representing a share of staked tokens in ProofâofâStake blockchains. We document substantial timeâvariation in the âliquid staking basisâ as given by the price difference between a derivative staking token and its underlying cryptocurrency. We find evidence that staking rewards, concentration risks, limits to arbitrage, and behavioral factors influence this basis. The liquid staking basis is wider when the yields offered by the liquid staking protocol are low relative to the alternative of staking directly, when cryptocurrency returns are more volatile, and when secondary market liquidity is low. In contrast, it is smaller when investors pay more attention to liquid staking and when investor sentiment is positive. Furthermore, liquid staking tokens contribute a significant and overall growing amount to price discovery in the underlying cryptocurrencies.
Carlos Esparcia, Tarek Fakhfakh, Francisco Jareño, Achraf Ghorbel
Abstract This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major G7 exchange-traded funds (ETFs) and various highly traded DeFi assets are considered to ensure the robustness of the empirical experiment. Specifically, this study applies the vector autoregression generalized autoregressive conditional heteroskedasticity (VAR-GARCH) model to examine the information transmission of these two markets on a two-way basis and the dynamic conditional correlation (DCC)-GARCH model to assess the bivariate correlation structure between each DeFi and ETF pair. The volatility spillover analysis proves a contagion effect occurred between different geographic markets, and even between markets of different natures and typologies, during the most turbulent moments of the COVID-19 crisis and the war in the Ukraine. Our results also reveal a weak positive correlation between most DeFi and ETF pairs and positive hedge ratios that approach unity during turbulent times. In addition, DeFi assets, except for the Bazaar (BZR) Protocol, can offer diversification gains when included in financial investment portfolios. These results are particularly relevant for portfolio managers and policy-makers when designing investment strategies, especially during periods of financial crisis.
This paper aims to leverage Bayesian nonlinear expectations to construct Bayesian lower and upper estimates for prices of Ether options, that is, options written on Ethereum, with conditional heteroscedasticity and model uncertainty. Specifically, a discrete-time generalized conditional autoregressive heteroscedastic (GARCH) model is used to incorporate conditional heteroscedasticity in the logarithmic returns of Ethereum, and Bayesian nonlinear expectations are adopted to introduce model uncertainty, or ambiguity, about the conditional mean and volatility of the logarithmic returns of Ethereum. Extended Girsanovâs principle is employed to change probability measures for introducing a family of alternative GARCH models and their risk-neutral counterparts. The Bayesian credible intervals for âuncertainâ drift and volatility parameters obtained from conjugate priors and residuals obtained from the estimated GARCH model are used to construct Bayesian superlinear and sublinear expectations giving the Bayesian lower and upper estimates for the price of an Ether option, respectively. Empirical and simulation studies are provided using real data on Ethereum in AUD. Comparisons with a model incorporating conditional heteroscedasticity only and a model capturing ambiguity only are presented.
The BRICS countries intend to create a common payment platform for conducting transactions in digital currencies at the international level â the BRICS Bridge project. The article provides a framework for the development of international CBDC transaction platform that would address the problem of high transaction costs and excessive transaction time for international settlements, which are currently one of the main issues in the traditional economy. Processes and governance structure of the platform are described in the work. Research has shown that CBDC settlements on a distributed ledger technology (DLT)-based platform can reduce information fragmentation and increase information flow for regulatory bodies. However, the use of DLT in international settlements is associated with numerous technical and legal risks, including privacy and data security risks, financial monitoring complications, contradictions between national and international legislation, and bank disintermediation risks. To mitigate these risks, a scheme for conducting international digital transactions based on DLT, combining national and international legislation, and ensuring data privacy and security is proposed.