On the link between bitcoin and commodities' prices

Kaabia, Olfa (INSEEC Business School, France) ; Abid, Ilyes (ISC Paris Business School, France) ; Sahut, Jean-Michel (School of Management Fribourg, HES-SO // University of Applied Sciences Western Switzerland) ; Guesmi, Khaled (Department of Finance, IPAG Lab, IPAG Business School, France)

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.


Type de conférence:
full paper
Faculté:
Economie et Services
Ecole:
HEG-FR
Classification:
Economie/gestion
Adresse bibliogr.:
Nice, France, 5-6 July 2017
Date:
Nice, France
5-6 July 2017
2017
Pagination:
24 p.
Publié dans
Proceedings of the 8th International Research Meeting in Business and Management
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 Notice créée le 2017-10-15, modifiée le 2018-12-05

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