Supply chain management based on volatility clustering: The effect of CBDC volatility

【Author】 Ding, Shusheng; Cui, Tianxiang; Wu, Xiangling; Du, Min

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】A Central Bank Digital Currency (CBDC) launched by the Bank of England could enable businesses to directly make electronic payments. It can be argued that digital payment is helpful in supply chain management applications. However, the adoption of CBDC in the supply chain could bring new turbulence since the CBDC value may fluctuate. Therefore, this paper intends to optimize the production plan of manufacturing supply chain based on a volatility clustering model by reducing CBDC value uncertainty. We apply both GARCH model and machine learning model to depict the CBDC volatility clustering. Empirically, we employed Baltic Dry Index, Bitcoin and exchange rate as main variables with sample period from 2015 to 2021 to evaluate the performance of the two models. On this basis, we reveal that our machine learning model overwhelmingly outperforms the GARCH model. Consequently, our result implies that manufacturing companies' performance can be strengthened through CBDC uncertainty reduction.

【Keywords】CBDC; Volatility clustering; Machine learning; Digital currency; Supply chain management

【发表时间】2022 DEC

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链应用-实体经济-供应链