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Structural vector error correction modelling of Bitcoin price

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  • Haffar, Adlane
  • Le Fur, Eric

Abstract

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.

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  • Haffar, Adlane & Le Fur, Eric, 2021. "Structural vector error correction modelling of Bitcoin price," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 170-178.
    • Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:170-178
    DOI: 10.1016/j.qref.2021.02.010
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    Cited by:

    1. Haffar, Adlane & Le Fur, Éric, 2022. "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 211-220.
    2. Jong-Min Kim & Chanho Cho & Chulhee Jun, 2022. "Forecasting the Price of the Cryptocurrency Using Linear and Nonlinear Error Correction Model," JRFM, MDPI, vol. 15(2), pages 1-10, February.

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    More about this item

    Keywords

    Bitcoin price; Cointegration; Financial markets; Shock; SVEC model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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