From Disruption to Integration: Cryptocurrency Prices, Financial Fluctuations, and Macroeconomy

Cryptocurrency Market Shock Analysis using Bayesian VAR with Pandemic PriorsThe pandemic prior is from the paper "Pandemic Priors" by Cascaldi-Garcia, D.The data and code are prepared by Zhengyang Chen for the project: From Disruption to Integration: Cryptocurrency Prices, Financial Fluctuations, and Macroeconomy. Please cite the paper for the proper use.Citations:Chen, Zhengyang. 2025. "From Disruption to Integration: Cryptocurrency Prices, Financial Fluctuations, and Macroeconomy" Journal of Risk and Financial Management 18, no. 7: 360. https://doi.org/10.3390/jrfm18070360Cascaldi-Garcia, Danilo (2022). "Pandemic Priors," International Finance Discussion Papers 1352. Washington: Board of Governors of the Federal Reserve System, https://doi.org/10.17016/IFDP.2022.1352.Code organized and prepared by: Zhengyang ChenDate: June 5, 2025