Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency
文献类型：期刊论文
| 作者 | Jin, Xuejun1; Zhu, Keer1; Yang, Xiaolan2; Wang, Shouyang3,4 |
| 刊名 | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
 |
| 出版日期 | 2021-12-01 |
| 卷号 | 58页码:16 |
| 关键词 | Bitcoin Fiat currency Empirical mode decomposition Event analysis |
| ISSN号 | 0275-5319 |
| DOI | 10.1016/j.ribaf.2021.101451 |
| 英文摘要 | Recent studies have found that investors move from fiat currencies to Bitcoin cryptocurrency in environments with low trust and high uncertainty. This paper investigates the reaction of Bitcoin prices to uncertainty concerning fiat currencies by introducing a complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN)-based event analysis approach. The 2013 Cyprus bailout is used as an event over the uncertainty of fiat currencies. With the proposed approach, the original Bitcoin price series is decomposed into high-frequency, low-frequency, and trend components, thus disentangling the short-, medium-, and long-term effects of the events on Bitcoin prices, respectively. We find that the low-frequency component is dominant and increased because of the event. In addition, the announcement significantly increased the intensity of shortterm fluctuations in Bitcoin prices. However, there was no structural change in Bitcoin prices in the long-term trend. This paper provides a way to show the reaction of Bitcoin prices to the uncertainty of fiat currencies at different time scales and suggests that the reaction is mainly captured by the medium-term trend. |
| 资助项目 | Natural Science Foundation of China[71873089] ; Natural Science Foundation of China[71988101] ; Natural Science Foundation of China[G030202] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000696994500005 |
| 出版者 | ELSEVIER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59296]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Yang, Xiaolan |
| 作者单位 | 1.Zhejiang Univ, Coll Econ, Hangzhou, Peoples R China 2.Shanghai Int Studies Univ, Sch Business & Management, Shanghai, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Jin, Xuejun,Zhu, Keer,Yang, Xiaolan,et al. Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,2021,58:16. |
| APA | Jin, Xuejun,Zhu, Keer,Yang, Xiaolan,&Wang, Shouyang.(2021).Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency.RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,58,16. |
| MLA | Jin, Xuejun,et al."Estimating the reaction of Bitcoin prices to the uncertainty of fiat currency".RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 58(2021):16. |
入库方式： OAI收割
来源：数学与系统科学研究院
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