{"title":"货币政策及货币政策不确定性对加密货币市场的影响","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":"{\"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}","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}
Examining the Effect of Monetary Policy and Monetary Policy Uncertainty on Cryptocurrencies Market
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.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
