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The Influences of the US Stock Market on Virtual Currency Price under US Monetary Policy Threshold

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  • Tzu-Yi Yang
  • Eddy Lie
  • Chien-Chung Lu

Abstract

This study uses a panel smooth transition regression model to investigate the nonlinear relationship between virtual currency and the stock market under the US monetary policy threshold from 7 August 2015 to 27 October 2020. A statistical test showed a threshold effect and confirmed that the relationship between the US stock market and virtual currency is nonlinear. Furthermore, virtual currency fluctuation has asymmetric responses to the US stock market’s fluctuation based on the threshold value. When the federal fund rate exceeds the threshold value, the changes in the S&P500 with a lag of one positively affect the fluctuation of virtual currency.JEL: C32, C58, E52.

Suggested Citation

  • Tzu-Yi Yang & Eddy Lie & Chien-Chung Lu, 0. "The Influences of the US Stock Market on Virtual Currency Price under US Monetary Policy Threshold," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 0(0), pages 1-19.
    • Handle: RePEc:voj:journl:v:0:y:0:i:0:p:1-19:id:1442
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    File URL: https://panoeconomicus.org/index.php/jorunal/article/view/1442/823
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    More about this item

    Keywords

    Panel smooth transition regression (PSTR) model; Threshold effect; Virtual currency; US stock market; US monetary policy;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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