Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Bitcoin’s Response to U.S. Monetary Policy Easing Announcements

Alarcon Valdez, Emilia Felicidad LU (2021) NEKN01 20211
Department 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:
author
Alarcon Valdez, Emilia Felicidad LU
supervisor
organization
course
NEKN01 20211
year
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}},
}