The Asymmetric Effects of the Interest Rate on the Bitcoin Price
Küçük Resim Yok
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Charles Univ-Prague
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The news about the US interest rate is expected to cause significant changes in cryptocurrency markets in the 2020s. The asymmetric effects of the interest rate on the Bitcoin price were analyzed by using a SVAR model for the monthly period between January 2012 and October 2022. The selected variables are the VIX, interest rate spread, positive and negative real interest rates, DXY, the gold price, and the oil price. According to the variance decomposition, negative real interest rate shocks created a stronger influence than positive real interest rate shocks on the Bitcoin price. The negative real interest rate shocks became the most explanatory indicator over the period. Impulse response functions indicated that the response of the Bitcoin price to the positive interest rate was insignificant. However, its response to the negative real interest rate became negative and significant only during the mid-term. As a consequence, the negative real interest rate significantly influences the Bitcoin price. The results provide important implications for policymakers, portfolio managers, and investors.
Açıklama
Anahtar Kelimeler
Kaynak
Finance A Uver-Czech Journal Of Economics And Finance
WoS Q Değeri
N/A
Scopus Q Değeri
Q3
Cilt
73
Sayı
2
