On the link between bitcoin and commodities' prices

Auteur(s)

Kaabia, Olfa

Accéder

Description

This pioneer paper studies whether and how Bitcoin shocks are transmitted to the U.S economy. We employ a new methodology: TVP FAVAR model with stochastic volatility. We use a large dataset of 111 major U.S variables from 1959:m1 to 2016:m12. The results show that Bitcoin shocks significantly impact the U.S. econ-omy. This significant impact is pronounced in a volatile and increasing U.S economy. The Bitcoin has a posi-tive relationship on the U.S real activity, and a negative one on U.S prices and interest rates. Effects on the Monetary Policy exist via the interest rates and the Money, Credit and Finance transmission channels.

Institution partenaire

Langue

English

Date

2017

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