Non-linear adjustment of the Bitcoin–US dollar exchange rate

Wajdi Moussa (), Nidhal Mgadmi (), Rym Regaïeg () and Abdelhafidh Othmani
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Wajdi Moussa: University of Tunis, Higher Institute of Management of Tunis
Nidhal Mgadmi: University of Tunis, Higher Institute of Management of Tunis
Rym Regaïeg: University of Tunis, Higher Institute of Management of Tunis

Digital Finance, 2020, vol. 2, issue 1, No 8, 143-158

Abstract: Abstract This paper analyses the relationship between BitCoin price and social media. The aim of the study was to investigate the adjustment process of the Bitcoin/dollar exchange rate towards its long-run equilibrium value in a nonlinear panel framework. A smooth transition error correction model is estimated to empirically validate the adjustment of the Bitcoin/dollar exchange rate in relation to its fundamental value. Results depict the presence of a nonlinear adjustment mechanism that reduces the Bitcoin/dollar rate to a partially stable long-term situation. Further, we find empirical evidence that the social media is an effective tool in today’s Bitcoin/dollar exchange rate process.

Keywords: Bitcoin; Co-integration; Nonlinear models; G12; G14 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00020-4

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DOI: 10.1007/s42521-020-00020-4

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