This paper represents a new approach in the exchange rate determination by using microstructural and macroeconomic variables. We test a combination of fundamentals and microstructure variables in cointegrated relationship of the USD/JPY and USD/GBP currencies' pairs. The 'twofold' model includes interest rate, money supply and net foreign assets as fundamentals, and spread and high-low spread as a microstructure variable. Then we compare the different models of macroeconomic and twofold model with the random walk using an error-correction method. We find that the twofold model outperforms the random structural model in out-of-sample and in-sample forecast test for both exchange rates. Twofold model outperforms in out-of-sample forecast the random walk test for the USD/JPY.

Following the rise of new blockchain-based assets like NFTs and DeFi tokens, alongside the high demand for cryptocurrencies, investors are altering the construction of their portfolios by not just relying on classical strategies in FOREX, stocks, and commodities markets. To highlight the overall risk transmission between the different segment of the markets, we study the connectedness using VAR and TVP-VAR models at various frequencies. We compare the t-variant components across different scales. This approach allows for the investigation of time-frequency dynamics and the identification of patterns and relationships between these assets. The study will utilize historical data and apply wavelet coherence techniques to analyze the co-movements and dependencies at various time scales. The empirical results indicate a strong correlation between DeFi, other cryptocurrencies, and Bitcoin, while NFTs exhibit independence from nearly all segments of the network. The transmission of shocks between markets depends on time and frequency, with most transmission occurring at short-term frequencies. Dynamic transmission is influenced by crises such as the COVID-19 outbreak. Our findings contribute to the literature on blockchain-based assets by examining the transmission of shocks with established markets. These results are significant for investors in managing their portfolios and making informed decisions by considering their holdings in the classical market. JEL Classification: G11; G14 ; C5 ; C58 ; L86 ; G19