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Non-linear adjustment of the Bitcoin–US dollar exchange rate

Author

Listed:
  • Wajdi Moussa

    (University of Tunis, Higher Institute of Management of Tunis)

  • Nidhal Mgadmi

    (University of Tunis, Higher Institute of Management of Tunis)

  • Rym Regaïeg

    (University of Tunis, Higher Institute of Management of Tunis)

  • Abdelhafidh Othmani

    (University of Tunis)

Abstract

This paper analyses the relationship between BitCoin price and social media. The aim of the study was to investigate the adjustment process of the Bitcoin/dollar exchange rate towards its long-run equilibrium value in a nonlinear panel framework. A smooth transition error correction model is estimated to empirically validate the adjustment of the Bitcoin/dollar exchange rate in relation to its fundamental value. Results depict the presence of a nonlinear adjustment mechanism that reduces the Bitcoin/dollar rate to a partially stable long-term situation. Further, we find empirical evidence that the social media is an effective tool in today’s Bitcoin/dollar exchange rate process.

Suggested Citation

  • Wajdi Moussa & Nidhal Mgadmi & Rym Regaïeg & Abdelhafidh Othmani, 2020. "Non-linear adjustment of the Bitcoin–US dollar exchange rate," Digital Finance, Springer, vol. 2(1), pages 143-158, September.
    • Handle: RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00020-4
    DOI: 10.1007/s42521-020-00020-4
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