The Link between Bitcoin Price Changes and the Exchange Rates in European Countries with Non-Euro Currencies

Bogdan Dumitrescu, Carmen Obreja, Ionel Leonida, Dănuț Georgian Mihai and Ludovic Cosmin Trifu
Additional contact information
Carmen Obreja: Department of Money and Banking, Faculty of Finance and Banking, Bucharest University of Economic Studies, 010961 Bucharest, Romania
Ionel Leonida: “Victor Slăvescu” Centre for Financial and Monetary Research, Calea 13 Septembrie, 050711 Bucharest, Romania
Dănuț Georgian Mihai: Doctoral School of Finance, Faculty of Finance and Banking, Bucharest University of Economic Studies, 010961 Bucharest, Romania
Ludovic Cosmin Trifu: Doctoral School of Finance, Faculty of Finance and Banking, Bucharest University of Economic Studies, 010961 Bucharest, Romania

JRFM, 2023, vol. 16, issue 4, 1-12

Abstract: This paper contributes to the literature dedicated to the interlinkages between cryptocurrencies and currencies by investigating whether Bitcoin price movements affect the exchange rates of a sample of nine European countries with non-euro currencies. By resorting to the novel unconditional quantile regression, we show that there is a statistically significant link between Bitcoin price movements and changes in nominal exchange rates. In normal market conditions, an increase in the price of Bitcoin can be associated with an appreciation of the currencies from our sample, while during the COVID-19 pandemic, the relationship inversed. In addition, we find heterogeneities in this relationship, depending on the level of change in the nominal exchange rate. The results emphasize the relevance of Bitcoin price movements to the conduct of monetary policy through the exchange rate channel and that investors in cryptocurrencies and various financial assets denominated in the currencies from our sample can benefit from diversification by including both types of assets in their portfolios.

Keywords: exchange rate; European countries; quantile regression; bitcoin (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/16/4/232/pdf (application/pdf)
https://www.mdpi.com/1911-8074/16/4/232/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:232-:d:1117635

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().