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

被引：0
|
作者：
Wajdi Moussa
Nidhal Mgadmi
Rym Regaïeg
Abdelhafidh Othmani
机构：
[1] University of Tunis,Lab: GEF2A
[2] Higher Institute of Management of Tunis,Faculty of Economics and Management of Tunis
[3] University of Tunis,undefined
来源：
Digital Finance | 2020年 / 2卷 / 1-2期
关键词：
Bitcoin; Co-integration; Nonlinear models; G12; G14;
D O I：
10.1007/s42521-020-00020-4
中图分类号：
学科分类号：
摘要：
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.
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页码：143 / 158
页数：15
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