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.


Conference Type:
full paper
Faculty:
Economie et Services
School:
HEG-FR
Subject(s):
Economie/gestion
Publisher:
Nice, France, 5-6 July 2017
Date:
Nice, France
5-6 July 2017
2017
Pagination:
24 p.
Published in:
Proceedings of the 8th International Research Meeting in Business and Management
Appears in Collection:

Note: The status of this file is: restricted


 Record created 2017-10-15, last modified 2019-06-11

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