Bitcoin’s Response to U.S. Monetary Policy Easing Announcements
(2021) NEKN01 20211Department of Economics
- Abstract
- This paper aims to evaluate the effect of the U.S. monetary policy on the bitcoin price. In particular, how monetary policy easing affects the bitcoin returns. One of the main tenets of bitcoin is that it is a hedge against inflation caused by a large increase in the money supply. Inspired by that idea, this study intends to analyze bitcoin’s instant response to the Federal Reserve’s monetary policy easing announcements using an event study methodology and intraday data. For this, the impact of the Federal Reserve Open Market Committee (FOMC) easing announcements on the bitcoin returns is analyzed. The studied period starts 10 minutes before each announcement and finishes 45 minutes after the announcement. For robustness, the relationship... (More)
- This paper aims to evaluate the effect of the U.S. monetary policy on the bitcoin price. In particular, how monetary policy easing affects the bitcoin returns. One of the main tenets of bitcoin is that it is a hedge against inflation caused by a large increase in the money supply. Inspired by that idea, this study intends to analyze bitcoin’s instant response to the Federal Reserve’s monetary policy easing announcements using an event study methodology and intraday data. For this, the impact of the Federal Reserve Open Market Committee (FOMC) easing announcements on the bitcoin returns is analyzed. The studied period starts 10 minutes before each announcement and finishes 45 minutes after the announcement. For robustness, the relationship between changes in the federal funds futures rate and the bitcoin returns is evaluated. It was found that the U.S. monetary policy easing announcements does not affect the bitcoin returns in the studied period. Furthermore, the results suggest that U.S. monetary policy easing announcements and bitcoin returns do not have a significant and instant relationship. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9066201
- author
- Alarcon Valdez, Emilia Felicidad LU
- supervisor
- organization
- course
- NEKN01 20211
- year
- 2021
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Bitcoin, Federal Reserve, Monetary Policy Easing, Inflation, Intraday data
- language
- English
- id
- 9066201
- date added to LUP
- 2021-10-14 10:08:09
- date last changed
- 2021-10-14 10:08:09
@misc{9066201, abstract = {{This paper aims to evaluate the effect of the U.S. monetary policy on the bitcoin price. In particular, how monetary policy easing affects the bitcoin returns. One of the main tenets of bitcoin is that it is a hedge against inflation caused by a large increase in the money supply. Inspired by that idea, this study intends to analyze bitcoin’s instant response to the Federal Reserve’s monetary policy easing announcements using an event study methodology and intraday data. For this, the impact of the Federal Reserve Open Market Committee (FOMC) easing announcements on the bitcoin returns is analyzed. The studied period starts 10 minutes before each announcement and finishes 45 minutes after the announcement. For robustness, the relationship between changes in the federal funds futures rate and the bitcoin returns is evaluated. It was found that the U.S. monetary policy easing announcements does not affect the bitcoin returns in the studied period. Furthermore, the results suggest that U.S. monetary policy easing announcements and bitcoin returns do not have a significant and instant relationship.}}, author = {{Alarcon Valdez, Emilia Felicidad}}, language = {{eng}}, note = {{Student Paper}}, title = {{Bitcoin’s Response to U.S. Monetary Policy Easing Announcements}}, year = {{2021}}, }