From: Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies
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 |