A note on the Bitcoin and Fed Funds rate

Sofiane Aboura ()
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Sofiane Aboura: Université de Paris XIII, Sorbonne Paris Cité

Empirical Economics, 2022, vol. 63, issue 5, No 9, 2577-2603

Abstract: Abstract This study examines the potential influence of the Federal Reserve policy on Bitcoin price dynamics. The empirical investigation is based on methodologies to quantify the influence of the Fed Funds rate on Bitcoin through linear, nonlinear, and spillover effects. It covers a set of six representative assets, including Bitcoin, Fed Funds rate, S&P 500, 10-year US Treasury Bond, USD/EUR, and Gold from January 2015 to February 2021. Evidence is provided that Fed Funds rates have nonlinear effects and temporarily strong spillover effects on Bitcoins.

Keywords: Bitcoins; Fed Funds rates; Spillovers; Financial markets (search for similar items in EconPapers)
JEL-codes: C58 E44 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s00181-022-02207-7

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