Monetary policy shocks and Bitcoin prices
【Author】 Ma, Chaoqun; Tian, Yonggang; Hsiao, Shisong; Deng, Liurui
【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
【影响因子】6.143
【Abstract】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.
【Keywords】Monetary policy; Bitcoin; Impulse response analysis; Quantile regression
【发表时间】2022 DEC
【收录时间】2022-07-25
【文献类型】理论性文章
【主题类别】
区块链治理-市场治理-市场分析
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