Research in International Business and Finance

, volume 62 , pages 101711

Monetary policy shocks and Bitcoin prices

Chaoqun Ma ¹

Yonggang Tian ¹

Shisong Hsiao ¹

Lan Deng ²

Hide authors affiliations Show authors affiliations: 2 affiliations

Business School of Hunan University, Changsha 410082, PR China |

School of Business, Hunan Normal University, Changsha 410006, PR China |

Publication type: Journal Article

Publication date: 2022-12-01

Elsevier

Research in International Business and Finance

scimago Q1

wos Q1

SJR: 1.415

CiteScore: 11.1

Impact factor: 6.9

ISSN: 02755319, 18783384

DOI: 10.1016/j.ribaf.2022.101711

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Finance

Business, Management and Accounting (miscellaneous)

Abstract

This paper investigates the impact of US monetary policy shocks on Bitcoin prices. On the day of the Federal Open Market Committee (FOMC) meeting, a hypothetical unexpected monetary tightening by 1 basis point of two-year Treasury yield is associated with a 0.25% drop in the price of Bitcoin, comparable in magnitude to the effect on the gold price. The cumulative effect is much stronger in the next few days following the FOMC meeting. Impulse response analysis shows that this effect is very persistent. According to quantile regression, monetary policy surprises have a greater impact on Bitcoin prices during a market boom. • Bitcoin prices strongly react to monetary policy shocks. • Bitcoin has a significant price drift in the next few days following the FOMC meeting. • The effect of monetary policy shock on Bitcoin price is very persistent. • Monetary policy surprises have a greater impact on Bitcoin prices in a bull market.

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GOST |

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GOST Copy

Ma C. et al. Monetary policy shocks and Bitcoin prices // Research in International Business and Finance. 2022. Vol. 62. p. 101711.

GOST all authors (up to 50) Copy

Ma C., Tian Y., Hsiao S., Deng L. Monetary policy shocks and Bitcoin prices // Research in International Business and Finance. 2022. Vol. 62. p. 101711.

RIS |

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RIS Copy

TY - JOUR

DO - 10.1016/j.ribaf.2022.101711

UR - https://doi.org/10.1016/j.ribaf.2022.101711

TI - Monetary policy shocks and Bitcoin prices

T2 - Research in International Business and Finance

AU - Ma, Chaoqun

AU - Tian, Yonggang

AU - Hsiao, Shisong

AU - Deng, Lan

PY - 2022

DA - 2022/12/01

PB - Elsevier

SP - 101711

VL - 62

SN - 0275-5319

SN - 1878-3384

ER -

BibTex

Cite this

BibTex (up to 50 authors) Copy

@article{2022_Ma,

author = {Chaoqun Ma and Yonggang Tian and Shisong Hsiao and Lan Deng},

title = {Monetary policy shocks and Bitcoin prices},

journal = {Research in International Business and Finance},

year = {2022},

volume = {62},

publisher = {Elsevier},

month = {dec},

url = {https://doi.org/10.1016/j.ribaf.2022.101711},

pages = {101711},

doi = {10.1016/j.ribaf.2022.101711}

}

Publisher

Elsevier

Journal

Research in International Business and Finance

scimago Q1

wos Q1

SJR

1.415

CiteScore

11.1

Impact factor

6.9

ISSN

02755319 (Print)

18783384