 Supply chain management based on volatility clustering: The effect of CBDC volatilityShusheng Ding, Tianxiang Cui, Xiangling Wu and Min Du Research in International Business and Finance, 2022, vol. 62, issue C 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 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000782 DOI: 10.1016/j.ribaf.2022.101690 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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