The Asymmetric Effects of the Interest Rate on the Bitcoin Price

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dc.contributor.authorKose, Nezir
dc.contributor.authorUnal, Emre
dc.date.accessioned2024-03-13T10:33:12Z
dc.date.available2024-03-13T10:33:12Z
dc.date.issued2023
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThe 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.en_US
dc.identifier.doi10.32065/CJEF.2023.02.04
dc.identifier.endpage217en_US
dc.identifier.issn0015-1920
dc.identifier.issue2en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpage189en_US
dc.identifier.urihttps://doi.org/10.32065/CJEF.2023.02.04
dc.identifier.urihttps://hdl.handle.net/20.500.12662/3833
dc.identifier.volume73en_US
dc.identifier.wosWOS:001018931400004en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherCharles Univ-Pragueen_US
dc.relation.ispartofFinance A Uver-Czech Journal Of Economics And Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.titleThe Asymmetric Effects of the Interest Rate on the Bitcoin Priceen_US
dc.typeArticleen_US

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