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The Time-Varying Impact of Fed’s Rate Hikes on Yield and Volatility of Bitcoin

In: Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022)

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  • Yuchen Dai

    (Denison University)

Abstract

Covid-19 has had a significant impact on financial markets around the world, and various countries have adopted their methods to combat the impact of Covid-19 on equity markets. And because of Covid-19, the market share of the cryptocurrency market is increasing rapidly. This article focuses on how exchange rate changes caused by the Fed’s interest rate hike affected the cryptocurrency market after the epidemic. The article uses ARMA-GARCH and VAR models to analyze the future change of the cryptocurrency market after 2022 and how an increase in interest rate affects cryptocurrency market volatility. Furthermore, the model predictions have not been found that the interest rate increase in early 2022 has produced volatility in the cryptocurrency market. Compared to traditional equity markets or real estate markets. Cryptocurrencies are not responsive to government intervention.

Suggested Citation

  • Yuchen Dai, 2023. "The Time-Varying Impact of Fed’s Rate Hikes on Yield and Volatility of Bitcoin," Advances in Economics, Business and Management Research, in: Vilas Gaikar & Min Hou & Sikandar Ali Qalati (ed.), Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022), pages 143-156, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-054-1_17
    DOI: 10.2991/978-94-6463-054-1_17
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