Effect of Monetary Policy Decisions and Announcements on the Price of Cryptocurrencies: An Elastic-Net With Arima Residuals Approach

Baig, A., Blau, B. M., & Sabah, N. (2019). Price clustering and sentiment in Bitcoin. Finance Research Letters, 29, 111-116. https://doi.org/10.1016/J.FRL.2019.03.013 Search in Google Scholar

Bariviera, A. F. (2017). The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters, 161, 1-4. https://doi.org/10.1016/J.ECONLET.2017.09.013 Search in Google Scholar

Bartoletti, M., Carta, S., Cimoli, T., & Saia, R. (2020). Dissecting Ponzi schemes on Ethereum: Identification, analysis, and impact. Future Generation Computer Systems, 102, 259-277. https://doi.org/10.1016/J.FUTURE.2019.08.014 Search in Google Scholar

Bhanja, N., Shah, A. A., & Dar, A. B. (2023). Aggregate, asymmetric, and frequency-based spillover among equity, precious metals, and cryptocurrency. Resources Policy, 80, 103145. https://doi.org/10.1016/J.RESOURPOL.2022.103145 Search in Google Scholar

Bhuiyan, R. A., Husain, A., & Zhang, C. (2021). A wavelet approach for a causal relationship between bitcoin and conventional asset classes. Resources Policy, 71, 101971. https://doi.org/10.1016/J.RESOURPOL.2020.101971 Search in Google Scholar

Cheah, E. T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32-36. https://doi.org/10.1016/J.ECONLET.2015.02.029 Search in Google Scholar

Choi, S. H., & Jarrow, R. A. (2022). Applying the local martingale theory of bubbles to cryptocurrencies. International Journal of Theoretical and Applied Finance, 25(3). https://doi.org/10.1142/S0219024922500133 Search in Google Scholar

CoinMarketCap. (n.d.). Today's cryptocurrency prices by Market Cap. https://coinmarketcap.com/ Search in Google Scholar

Corbet, S., Larkin, C., Lucey, B., Meegan, A., & Yarovaya, L. (2020). Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position. Journal of Financial Stability, 46, 100706. https://doi.org/10.1016/J.JFS.2019.100706 Search in Google Scholar

Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182-199. https://doi.org/10.1016/J.IRFA.2018.09.003 Search in Google Scholar

Corbet, S., McHugh, G., & Meegan, A. (2017). The influence of central bank monetary policy announcements on cryptocurrency return volatility. Investment Management and Financial Innovations, 14(4), 60-72. https://doi.org/10.21511/IMFI.14(4).2017.07 Search in Google Scholar

Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34. https://doi.org/10.1016/j.econlet.2018.01.004 Search in Google Scholar

European Central Bank (ECB) (n.d.). Monetary policy decisions. https://www.ecb.europa.eu/press/govcdec/mopo/html/index.en.html Search in Google Scholar

FED (n.d.). Federal open market committee. https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm Search in Google Scholar

FRED (n.d.). FRED economic data. https://fred.stlouisfed.org/series/DFF Search in Google Scholar

Harb, E., Bassil, C., Kassamany, T., & Baz, R. (2022). Volatility interdependence between cryptocurrencies, equity, and bond markets. Computational Economics, 1-31. https://doi.org/10.1007/S10614-022-10318-7/TABLES/12 Search in Google Scholar

Hayes, A. S. (2018). Bitcoin price and its marginal cost of production: support for a fundamental value. Applied Economics Letters, 26(7), 554-560. https://doi.org/10.1080/13504851.2018.1488040 Search in Google Scholar

Hu, B., McInish, T., Miller, J., & Zeng, L. (2019). Intraday price behaviour of cryptocurrencies. Finance Research Letters, 28, 337-342. https://doi.org/10.1016/J.FRL.2018.06.002 Search in Google Scholar

Kizildag, M., Dogru, T., Zhang, T. (Christina), Mody, M. A., Altin, M., Ozturk, A. B., & Ozdemir, O. (2020). Blockchain: A paradigm shift in business practices. International Journal of Contemporary Hospitality Management, 32(3), 953-975. https://doi.org/10.1108/IJCHM-12-2018-0958/FULL/PDF Search in Google Scholar

Li, X., Li, S., & Xu, C. (2020). Price clustering in Bitcoin market—An extension. Finance Research Letters, 32, 101072. https://doi.org/10.1016/J.FRL.2018.12.020 Search in Google Scholar

Lyócsa, Š., Molnár, P., Plíhal, T., & Širaňová, M. (2020). Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. Journal of Economic Dynamics and Control, 119, 103980. https://doi.org/10.1016/J.JEDC.2020.103980 Search in Google Scholar

Ma, D., & Tanizaki, H. (2022). Intraday patterns of price clustering in Bitcoin. Financial Innovation, 8(1), 1-25. https://doi.org/10.1186/S40854-021-00307-4/FIGURES/7 Search in Google Scholar

Marmora, P. (2022). Does monetary policy fuel Bitcoin demand? Event-study evidence from emerging markets. Journal of International Financial Markets, Institutions and Money, 77, 101489. https://doi.org/10.1016/J.INTFIN.2021.101489 Search in Google Scholar

Mnif, E., & Jarboui, A. (2022). Resilience of Islamic cryptocurrency markets to Covid-19 shocks and the Federal Reserve policy. Asian Journal of Accounting Research, 7(1), 59-70. https://doi.org/10.1108/AJAR-01-2021-0004/FULL/PDF Search in Google Scholar

Monrat, A. A., Schelén, O., & Andersson, K. (2019). A survey of blockchain from the perspectives of applications, challenges, and opportunities. IEEE Access, 7, 117134–117151. https://doi.org/10.1109/ACCESS.2019.2936094 Search in Google Scholar

Moosa, I. A. (2020). The bitcoin: a sparkling bubble or price discovery? Journal of Industrial and Business Economics, 47(1), 93-113. https://doi.org/10.1007/S40812-019-00135-9/FIGURES/2 Search in Google Scholar

Nadarajah, S., & Chu, J. (2017). On the inefficiency of Bitcoin. Economics Letters, 150, 6-9. https://doi.org/10.1016/J.ECONLET.2016.10.033 Search in Google Scholar

Nelson, B. (2018). Financial stability and monetary policy issues associated with digital currencies. Journal of Economics and Business, 100, 76-78. https://doi.org/10.1016/J.JECONBUS.2018.06.002 Search in Google Scholar

Nghiem, H., Muric, G., Morstatter, F., & Ferrara, E. (2021). Detecting cryptocurrency pump-and-dump frauds using market and social signals. Expert Systems with Applications, 182, 115284. https://doi.org/10.1016/J.ESWA.2021.115284 Search in Google Scholar

Nguyen, T. V. H., Nguyen, B. T., Nguyen, K. S., & Pham, H. (2019). Asymmetric monetary policy effects on cryptocurrency markets. Research in International Business and Finance, 48, 335-339. https://doi.org/10.1016/J.RIBAF.2019.01.011 Search in Google Scholar

Panagiotidis, T., Stengos, T., & Vravosinos, O. (2018). On the determinants of bitcoin returns: A LASSO approach. Finance Research Letters, 27, 235-240. https://doi.org/10.1016/J.FRL.2018.03.016 Search in Google Scholar

Panagiotidis, T., Stengos, T., & Vravosinos, O. (2019). The effects of markets, uncertainty, and search intensity on bitcoin returns. International Review of Financial Analysis, 63, 220-242. https://doi.org/10.1016/J.IRFA.2018.11.002 Search in Google Scholar

Petropoulos, F., Grushka-Cockayne, Y., Siemsen, E., & Spiliotis, E. (2021). Wielding Occam’s razor: Fast and frugal retail forecasting.vhttp://arxiv.org/abs/2102.13209 Search in Google Scholar

Pieters, G., & Vivanco, S. (2017). Financial regulations and price inconsistencies across Bitcoin markets. Information Economics and Policy, 39, 1-14. https://doi.org/10.1016/J.INFOECOPOL.2017.02.002 Search in Google Scholar

Qiang, Z., & Shen, J. (2021). Bitcoin high-frequency trend prediction with convolutional and recurrent neural networks. 1-6. https://cs230.stanford.edu/projects_winter_2021/reports/70308950.pdf Search in Google Scholar

Schaupp, L. C., Festa, M., Knotts, K. G., & Vitullo, E. A. (2022). Regulation as a pathway to individual adoption of cryptocurrency. Digital Policy, Regulation and Governance, 24(2), 199-219. https://doi.org/10.1108/DPRG-08-2021-0101/FULL/PDF Search in Google Scholar

Shayegan, M. J., Sabor, H. R., Uddin, M., & Chen, C. L. (2022). A collective anomaly detection technique to detect crypto wallet frauds on bitcoin network. Symmetry, 14(2), 328. https://doi.org/10.3390/SYM14020328 Search in Google Scholar

Smith, C., & Kumar, A. (2018). Crypto-currencies – an introduction to not-so-funny money. Journal of Economic Surveys, 32(5), 1531-1559. https://doi.org/10.1111/JOES.12289 Search in Google Scholar

Su, C. W., Li, Z. Z., Tao, R., & Si, D. K. (2018). RETRACTED: Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. Japan and the World Economy, 46, 56-63. https://doi.org/10.1016/J.JAPWOR.2018.03.004 Search in Google Scholar

Tibshirani, R. (1996). Regression shrinkage and selection via the Lasso. Journal of the Royal Statistical Society: Series B (Methodological), 58(1), 267-288. https://doi.org/10.1111/J.2517-6161.1996.TB02080.X Search in Google Scholar

Tiwari, A. K., Jana, R. K., Das, D., & Roubaud, D. (2018). Informational efficiency of Bitcoin—An extension. Economics Letters, 163, 106-109. https://doi.org/10.1016/J.ECONLET.2017.12.006 Search in Google Scholar

U.S. Currency Education Program. (n.d.). U.S. currency in circulation. https://www.uscurrency.gov/life-cycle/data/circulation Search in Google Scholar

Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80-82. https://doi.org/10.1016/j.econlet.2016.09.019 Search in Google Scholar

Urquhart, A. (2017). Price clustering in Bitcoin. Economics Letters, 159, 145-148. https://doi.org/10.1016/J.ECONLET.2017.07.035 Search in Google Scholar

Vidal-Tomás, D., & Ibañez, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259-265. https://doi.org/10.1016/J.FRL.2018.03.013 Search in Google Scholar

Wei, W. C. (2018). Liquidity and market efficiency in cryptocurrencies. Economics Letters, 168, 21-24. https://doi.org/10.1016/J.ECONLET.2018.04.003 Search in Google Scholar

World Health Organization (WHO) (n.d.). Archived: WHO Timeline - COVID-19. https://www.who.int/news/item/27-04-2020-who-timeline---covid-19 Search in Google Scholar

Yang, L. T. Y. (2020). The influence of Taiwan’s stock market on Bitcoin’s price under Taiwan’s monetary policy threshold. Applied Economics, 52(45), 4967-4975. https://doi.org/10.1080/00036846.2020.1751802 Search in Google Scholar

Zhang, W., Wang, P., Li, X., & Shen, D. (2018). Some stylized facts of the cryptocurrency market. Applied Economics, 50(55), 5950-5965. https://doi.org/10.1080/00036846.2018.1488076 Search in Google Scholar

Zhou, S. (2021). Exploring the driving forces of the Bitcoin currency exchange rate dynamics: An EGARCH approach. Empirical Economics, 60(2), 557-606. https://doi.org/10.1007/S00181-019-01776-4/TABLES/6 Search in Google Scholar

Zou, H., & Hastie, T. (2005). Regularization and variable selection via the elastic net. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 67(2), 301-320. https://doi.org/10.1111/J.1467-9868.2005.00503.X Search in Google Scholar