Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency

doi:10.1016/j.ribaf.2021.101451

CSpace

	Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency
	Jin, Xuejun 1; Zhu, Keer 1; Yang, Xiaolan 2; Wang, Shouyang 3,4
	2021-12-01
发表期刊	RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN	0275-5319
卷号	58 页码:16
摘要	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.
关键词	Bitcoin Fiat currency Empirical mode decomposition Event analysis
DOI	10.1016/j.ribaf.2021.101451
收录类别	SCI
语种	英语
资助项目	Natural Science Foundation of China[71873089] ; Natural Science Foundation of China[71988101] ; Natural Science Foundation of China[G030202]
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:000696994500005
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59297
专题	中国科学院数学与系统科学研究院
通讯作者	Yang, Xiaolan
作者单位	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
推荐引用方式 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.