Monetary policy shocks and Bitcoin prices

被引：14
|
作者：
Ma, Chaoqun [1 ,2 ]
Tian, Yonggang [1 ,2 ]
Hsiao, Shisong [1 ,2 ]
Deng, Liurui [3 ]
机构：
[1] Hunan Univ, Business Sch, Changsha 410082, Peoples R China
[2] Hunan Univ, Hunan Key Lab Data Sci & Blockchain, Changsha 410082, Peoples R China
[3] Hunan Normal Univ, Sch Business, Changsha 410006, Peoples R China
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2022年 / 62卷
基金：
中国国家自然科学基金;
关键词：
Monetary policy; Bitcoin; Impulse response analysis; Quantile regression; FEDERAL-RESERVE; INTEREST-RATES; SAFE HAVEN; INEFFICIENCY; GOLD; CRYPTOCURRENCY; VOLATILITY; RESPONSES; DOLLAR; IMPACT;
D O I：
10.1016/j.ribaf.2022.101711
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the impact of US monetary policy shocks on Bitcoin prices. On the day of the Federal Open Market Committee (FOMC) meeting, a hypothetical unexpected monetary tightening by 1 basis point of two-year Treasury yield is associated with a 0.25% drop in the price of Bitcoin, comparable in magnitude to the effect on the gold price. The cumulative effect is much stronger in the next few days following the FOMC meeting. Impulse response analysis shows that this effect is very persistent. According to quantile regression, monetary policy surprises have a greater impact on Bitcoin prices during a market boom.
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页数：17
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