 The impact of ECB’s Quantitative Easing on cryptocurrency markets during times of crisisDonia Aloui, Riadh Zouaoui, Houssem Rachdi, Khaled Guesmi and Larisa Yarovaya Research in International Business and Finance, 2024, vol. 69, issue C Abstract: In this paper, we investigate non-linear linkages between Bitcoin and the unconventional monetary policies of the European Central Bank (ECB). In particular, we examine whether a low-interest rate environment resulting from QE indirectly encourages investors to move towards Bitcoin. Using a Bayesian VAR model with time-varying coefficients and stochastic volatility (TVP-BVAR-SV model), we compare Bitcoin’s responses to the shadow rate shocks during the pre-and post-COVID-19 periods. Moreover, despite the high uncertainty and the low-interest rate environment, Bitcoin's response during the COVID-19 period reveals a steeper drop compared to the pre-COVID-19 period. That said, investors did not resort to Bitcoin for safety and higher returns. Our findings can be attributed to the unprecedented nature of the crisis, the investor reluctance and pessimism, and the changing behavior of Bitcoin, which is no longer perceived as a safe haven. Keywords: COVID-19; ECB; Quantitative Easing; Shadow rate; Bitcoin; Investor sentiment; TVP-BVAR-SV model; Stochastic volatility (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:69:y:2024:i:c:s027553192300329x DOI: 10.1016/j.ribaf.2023.102203 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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