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Table 3 Static connectedness of the volatility of the exchange rates and components of the yield curve

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

98.77

0.42

0.02

0.23

0.01

0.09

0.2

0.2

0.06

1.23

Euro

0.07

72.65

9.22

7.85

1.7

8.21

0.05

0.02

0.23

27.35

GBP

0.02

10.04

76.28

7.03

0.14

6.04

0.18

0.19

0.09

23.72

JPY

0.35

8.81

6.49

79.49

0.64

3.48

0.39

0.11

0.24

20.51

CHF

0.32

2.21

0.18

0.66

95.84

0.15

0.19

0.18

0.27

4.16

CAD

0.16

7.36

6.3

2.95

0.12

82.24

0.43

0.22

0.23

17.76

Level

0.13

0.03

0.11

0.12

0.09

0.34

47.99

42.58

8.62

52.01

Slope

0.11

0.02

0.07

0.19

0.09

0.31

41.57

45.73

11.91

54.27

Curvature

0.02

0.19

0.11

0.26

0.18

0.25

12.71

17.36

68.91

31.09

TO

1.19

29.08

22.49

19.29

2.97

18.87

55.72

60.85

21.64

TCI

NET

− 0.04

1.73

− 1.23

− 1.22

− 1.18

1.11

3.7

6.58

− 9.45

25.79

  1. The table presents the static analysis of the full sample of the volatility of the exchange rates of Bitcoin and safe haven currencies (EURO, GBP = Great British Pound, JPY = Japanese Yen, CHF = Swiss Franc, CAD = Canadian Dollar) and the components of the US yield curve (Level, Slope and Curvature). ‘From’ (last column) mean spillover of the system of all other variables to the variable. ‘TO’ (second to last row) shows spillover from each variable to the system of all other variables. Net (last row) shows the net directional spillover of each variable. TCI (bold right bottom corner) is the total connectedness index of the system of all variables
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