KMS Of Academy of mathematics and systems sciences, CAS
| Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency | |
| Jin, Xuejun1; Zhu, Keer1; Yang, Xiaolan2; Wang, Shouyang3,4 | |
| 2021-12-01 | |
| Source Publication | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
 |
| ISSN | 0275-5319 |
| Volume | 58Pages:16 |
| Abstract | Recent studies have found that investors move from fiat currencies to Bitcoin cryptocurrency in environments with low trust and high uncertainty. This paper investigates the reaction of Bitcoin prices to uncertainty concerning fiat currencies by introducing a complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN)-based event analysis approach. The 2013 Cyprus bailout is used as an event over the uncertainty of fiat currencies. With the proposed approach, the original Bitcoin price series is decomposed into high-frequency, low-frequency, and trend components, thus disentangling the short-, medium-, and long-term effects of the events on Bitcoin prices, respectively. We find that the low-frequency component is dominant and increased because of the event. In addition, the announcement significantly increased the intensity of shortterm fluctuations in Bitcoin prices. However, there was no structural change in Bitcoin prices in the long-term trend. This paper provides a way to show the reaction of Bitcoin prices to the uncertainty of fiat currencies at different time scales and suggests that the reaction is mainly captured by the medium-term trend. |
| Keyword | Bitcoin Fiat currency Empirical mode decomposition Event analysis |
| DOI | 10.1016/j.ribaf.2021.101451 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | Natural Science Foundation of China[71873089] ; Natural Science Foundation of China[71988101] ; Natural Science Foundation of China[G030202] |
| WOS Research Area | Business & Economics |
| WOS Subject | Business, Finance |
| WOS ID | WOS:000696994500005 |
| Publisher | ELSEVIER |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59297 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Yang, Xiaolan |
| Affiliation | 1.Zhejiang Univ, Coll Econ, Hangzhou, Peoples R China 2.Shanghai Int Studies Univ, Sch Business & Management, Shanghai, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China |
| Recommended Citation GB/T 7714 | Jin, Xuejun,Zhu, Keer,Yang, Xiaolan,et al. Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,2021,58:16. |
| APA | Jin, Xuejun,Zhu, Keer,Yang, Xiaolan,&Wang, Shouyang.(2021).Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency.RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,58,16. |
| MLA | Jin, Xuejun,et al."Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency".RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 58(2021):16. |
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