A note on the Bitcoin and Fed Funds rate

被引：9
|
作者：
Aboura, Sofiane [1 ]
机构：
[1] Univ Paris XIII, Sorbonne Paris Cite, F-93430 Villetaneuse, France
来源：
EMPIRICAL ECONOMICS | 2022年 / 63卷 / 05期
关键词：
Bitcoins; Fed Funds rates; Spillovers; Financial markets; IMPULSE-RESPONSE ANALYSIS; STOCK-MARKET; SPILLOVERS; VOLATILITY; RETURN; CONNECTEDNESS;
D O I：
10.1007/s00181-022-02207-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：2577 / 2603
页数：27
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