A note on the Bitcoin and Fed Funds rate.
Bitcoins
Fed Funds rates
Financial markets
Spillovers
Journal
Empirical economics
ISSN: 0377-7332
Titre abrégé: Empir Econ
Pays: Austria
ID NLM: 101086175
Informations de publication
Date de publication:
2022
2022
Historique:
received:
28
06
2021
accepted:
08
01
2022
pubmed:
24
2
2022
medline:
24
2
2022
entrez:
23
2
2022
Statut:
ppublish
Résumé
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.
Identifiants
pubmed: 35194305
doi: 10.1007/s00181-022-02207-7
pii: 2207
pmc: PMC8854487
doi:
Types de publication
Journal Article
Langues
eng
Pagination
2577-2603Informations de copyright
© The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2022.
Déclaration de conflit d'intérêts
Conflicts of interestNone.