Correlation structure between fiat currencies and blockchain assets

This study examines the correlation between fiat currencies of the G7 and BRICS economies and non-fungible tokens (NFTs) and decentralized finance (DeFi). We use quantile-on-quantile regression (QQR) and the rolling window wavelet correlation (RWWC) method with data spanning from September 2020 to October 2023. The findings from the QQR indicate a heterogenous relationship between currencies and digital assets. Specifically, BRICS currencies are more correlated with NFTs, whereas DeFi is correlated with almost all currencies. Further, the RWWC results reveal a time-varying negative correlation pattern between fiat currencies and NFTs and DeFi.