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Central bank speeches and digital currency competition

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  • Scharnowski, Stefan

Abstract

This paper studies how cryptocurrency investors view central bank digital currencies (CBDCs) by exploiting the market reaction to central bank speeches. Prices react asymmetrically to the speeches, increasing more strongly after speeches that take a more positive stance. Similarly, while volatility generally increases, negative CBDC sentiment has a slight amplifying effect. The results indicate that traders do not view CBDCs as a threat to cryptocurrencies. Rather, more positive stances on CBDCs appear to be interpreted as favorable signals for other forms of digital currencies as well.

Suggested Citation

  • Scharnowski, Stefan, 2022. "Central bank speeches and digital currency competition," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003038
    DOI: 10.1016/j.frl.2022.103072
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    Cited by:

    1. Wang, Yizhi & Wei, Yu & Lucey, Brian M. & Su, Yang, 2023. "Return spillover analysis across central bank digital currency attention and cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Pattnaik, Debidutta & Hassan, M. Kabir & Dsouza, Arun & Tiwari, Aviral & Devji, Shridev, 2023. "Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    3. Jabbar, Abdul & Geebren, Ahmed & Hussain, Zahid & Dani, Samir & Ul-Durar, Shajara, 2023. "Investigating individual privacy within CBDC: A privacy calculus perspective," Research in International Business and Finance, Elsevier, vol. 64(C).
    4. Wang, Zhan-ao & Samuel, Ribeiro-Navarrete & Chen, Xiao-qian & Xu, Bing & Huang, Wei-lun, 2023. "Central bank digital currencies: Consumer data-driven sustainable operation management policy," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
    5. Karau, Sören, 2023. "Central bank digital currency competition and the impossible trinity," Finance Research Letters, Elsevier, vol. 54(C).
    6. Helmi, Mohamad Husam & Çatık, Abdurrahman Nazif & Akdeniz, Coşkun, 2023. "The impact of central bank digital currency news on the stock and cryptocurrency markets: Evidence from the TVP-VAR model," Research in International Business and Finance, Elsevier, vol. 65(C).

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    More about this item

    Keywords

    Bitcoin; Cryptocurrency; Central bank digital currencies; CBDC; Central bank communication; Currency competition;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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