Identifying Financial Drivers of Bitcoin Price in Times of Economic and Policy Uncertainty: A Threshold Analysis

Teodora Cristina Barbu (), Iustina Alina Boitan (), Raluca Crina Petrescu () and Cosmin Cepoi ()
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Teodora Cristina Barbu: Bucharest University of Economic Studies
Iustina Alina Boitan: Bucharest University of Economic Studies
Raluca Crina Petrescu: Bucharest University of Economic Studies
Cosmin Cepoi: Bucharest University of Economic Studies

Chapter Chapter 11 in Digitalization and Firm Performance, 2022, pp 283-312 from Springer

Abstract: Abstract The chapter considers a comprehensive array of financial variables to reveal their interplay with Bitcoin price. The novelty of our analysis relies on the range of explanatory variables taken into account and in the methodological framework employed, represented by the threshold regression, which allows us to discriminate between Bitcoin determinants in times of increased economic policy uncertainty and in times of certainty and stability. The findings highlight the sensitivity of Bitcoin price to changes in variables related to the equity market, the monetary market, the foreign exchange market, commodity market variables and global financial stress. Overall, Bitcoin is a versatile financial product, exhibiting either a diversifier or a hedging role.

Keywords: Bitcoin; Economic Policy Uncertainty index; Equity market; Monetary market; Foreign exchange market; Commodity market; Financial stress; Threshold regression (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-83360-2_11

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DOI: 10.1007/978-3-030-83360-2_11

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