 Structural vector error correction modelling of Bitcoin priceEric Le Fur
Post-Print from HAL Abstract: Over the period from January 2011 to December 2019 we analyze the impact of shocks on the financial markets of emerging and developed countries on the price of Bitcoin using the structural vector error correction model. Results differ according to the duration and area selected. There is evidence of higher impact in short-term than in long-term. In the short term, bitcoin prices are positively influenced by Asian emerging countries and all countries areas, negatively by North America. In the long term, only all countries in Asia, the Pacific (negative) and Europe (positive) impact the price of bitcoin. Regardless of the duration, there is no influence of shocks in all other zones on the price of Bitcoin. The analysis of the health shock of COVID-19 and its impact on financial markets supports the results found. The results are potentially useful to academics, practitioners, and Bitcoin market participants to better facilitate risk-management-decisions. Keywords: Bitcoin price; Cointegration; Financial markets; Shock; SVEC model (search for similar items in EconPapers) Published in Quarterly Review of Economics and Finance, 2021, 80, pp.170-178. ⟨10.1016/j.qref.2021.02.010⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03687437 DOI: 10.1016/j.qref.2021.02.010 Access Statistics for this paper More papers in Post-Print from HAL |
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