Cryptocurrency Co-Movement: Competition in Currency vs. Purchasing Power Parity

This paper assesses the integration of cryptocurrency markets using two Thick Pen methods: the Thick Pen Measure of Association (TPMA) and the Multi-Thickness Thick Pen Measure of Association (MTTPMA). These methods enable the analysis of time-varying co-movement between cryptocurrency prices and capture dynamics across different time scales, including short-term and long-term features of price series. A key advantage of this approach is its ability to identify instabilities in price relationships. The findings reveal strong co-movement among the cryptocurrencies studied. However, the paper critically evaluates this result, noting that cryptocurrencies operate under distinct monetary policies and are therefore not homogeneous entities.

Manuscript in preparation for the Journal of Money, Credit and Banking