Structural vector error correction modelling of Bitcoin price
Idioma
EN
Article de revue
Este ítem está publicado en
Quarterly Review of Economics and Finance. 2021-02-01, vol. 80, p. 170-178
Resumen en inglés
Over the period from January 2011 to December 2019 we analyze the impact of shocks on the financial
markets of emerging and developed countries on the price of Bitcoin using the structural vector error
correction model. ...Leer más >
Over the period from January 2011 to December 2019 we analyze the impact of shocks on the financial
markets of emerging and developed countries on the price of Bitcoin using the structural vector error
correction model. Results differ according to the duration and area selected. There is evidence of higher
impact in short-term than in long-term. In the short term, bitcoin prices are positively influenced by
Asian emerging countries and all countries areas, negatively by North America. In the long term, only
all countries in Asia, the Pacific (negative) and Europe (positive) impact the price of bitcoin. Regardless
of the duration, there is no influence of shocks in all other zones on the price of Bitcoin. The analysis of
the health shock of COVID-19 and its impact on financial markets supports the results found. The results
are potentially useful to academics, practitioners, and Bitcoin market participants to better facilitate
risk-management-decisions.< Leer menos
Palabras clave en inglés
Bitcoin price
Cointegration
Financial markets
Shock
SVEC model
Centros de investigación