{"title":"Examining the Effect of Monetary Policy and Monetary Policy Uncertainty on Cryptocurrencies Market","authors":"Mohammadreza Mahmoudi","doi":"arxiv-2311.10739","DOIUrl":null,"url":null,"abstract":"This study investigates the influence of monetary policy and monetary policy\nuncertainties on Bitcoin returns, utilizing monthly data of BTC, and MPU from\nJuly 2010 to August 2023, and employing the Markov Switching Means VAR\n(MSM-VAR) method. The findings reveal that Bitcoin returns can be categorized\ninto two distinct regimes: 1) regime 1 with low volatility, and 2) regime 2\nwith high volatility. In both regimes, an increase in MPU leads to a decline in\nBitcoin returns: -0.028 in regime 1 and -0.44 in regime 2. This indicates that\nmonetary policy uncertainty exerts a negative influence on Bitcoin returns\nduring both downturns and upswings. Furthermore, the study explores Bitcoin's\nsensitivity to Federal Open Market Committee (FOMC) decisions.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":"52 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - General Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2311.10739","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This study investigates the influence of monetary policy and monetary policy
uncertainties on Bitcoin returns, utilizing monthly data of BTC, and MPU from
July 2010 to August 2023, and employing the Markov Switching Means VAR
(MSM-VAR) method. The findings reveal that Bitcoin returns can be categorized
into two distinct regimes: 1) regime 1 with low volatility, and 2) regime 2
with high volatility. In both regimes, an increase in MPU leads to a decline in
Bitcoin returns: -0.028 in regime 1 and -0.44 in regime 2. This indicates that
monetary policy uncertainty exerts a negative influence on Bitcoin returns
during both downturns and upswings. Furthermore, the study explores Bitcoin's
sensitivity to Federal Open Market Committee (FOMC) decisions.
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