Monetary policy shocks and Bitcoin prices

Chaoqun Ma, Yonggang Tian, Shisong Hsiao and Liurui Deng

Research in International Business and Finance, 2022, vol. 62, issue C

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 (search for similar items in EconPapers)
JEL-codes: E44 E52 G12 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:62:y:2022:i:c:s027553192200099x

DOI: 10.1016/j.ribaf.2022.101711

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