The Asymmetric Effects of the Interest Rate on the Bitcoin Price

【Author】 Kose, Nezir; Unal, Emre

【Source】FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE

【影响因子】0.292

【Abstract】The news about the US interest rate is expected to cause significant changes in cryptocurrency markets in the 2020s. The asymmetric effects of the interest rate on the Bitcoin price were analyzed by using a SVAR model for the monthly period between January 2012 and October 2022. The selected variables are the VIX, interest rate spread, positive and negative real interest rates, DXY, the gold price, and the oil price. According to the variance decomposition, negative real interest rate shocks created a stronger influence than positive real interest rate shocks on the Bitcoin price. The negative real interest rate shocks became the most explanatory indicator over the period. Impulse response functions indicated that the response of the Bitcoin price to the positive interest rate was insignificant. However, its response to the negative real interest rate became negative and significant only during the mid-term. As a consequence, the negative real interest rate significantly influences the Bitcoin price. The results provide important implications for policymakers, portfolio managers, and investors.

【Keywords】

【发表时间】2023

【收录时间】2023-07-17

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析