Stability between cryptocurrency prices and the term structure
The rapid expansion of the global cryptocurrency market raises the question of whether there are stable relationships between the prices of representative cryptocurrencies and economic indicators capturing expectations of future monetary policy. Multivariate time-series analysis reveals a single but...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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Elsevier
2024
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| _version_ | 1811139561506471936 |
|---|---|
| author | Castle, JL Kurita, T |
| author_facet | Castle, JL Kurita, T |
| author_sort | Castle, JL |
| collection | OXFORD |
| description | The rapid expansion of the global cryptocurrency market raises the question of whether there are stable relationships between the prices of representative cryptocurrencies and economic indicators capturing expectations of future monetary policy. Multivariate time-series analysis reveals a single but significant cointegrating relationship between cryptocurrencies and the US term spread. This evidence allows us to explore cointegration-based control analysis of the data, which results in direct policy implications for the implementation of monetary policy allowing for the growing influence of digital assets. Structural breaks due to Tesla terminating the use of Bitcoin for car sales and the US inflation shock in 2022 must be handled, maintaining the stability of the relationship between cryptocurrencies and the term spread. |
| first_indexed | 2024-09-25T04:08:03Z |
| format | Journal article |
| id | oxford-uuid:dbddca6c-432c-4cb7-9e33-409e2f00ab81 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-09-25T04:08:03Z |
| publishDate | 2024 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:dbddca6c-432c-4cb7-9e33-409e2f00ab812024-06-04T13:23:13ZStability between cryptocurrency prices and the term structureJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:dbddca6c-432c-4cb7-9e33-409e2f00ab81EnglishSymplectic ElementsElsevier2024Castle, JLKurita, TThe rapid expansion of the global cryptocurrency market raises the question of whether there are stable relationships between the prices of representative cryptocurrencies and economic indicators capturing expectations of future monetary policy. Multivariate time-series analysis reveals a single but significant cointegrating relationship between cryptocurrencies and the US term spread. This evidence allows us to explore cointegration-based control analysis of the data, which results in direct policy implications for the implementation of monetary policy allowing for the growing influence of digital assets. Structural breaks due to Tesla terminating the use of Bitcoin for car sales and the US inflation shock in 2022 must be handled, maintaining the stability of the relationship between cryptocurrencies and the term spread. |
| spellingShingle | Castle, JL Kurita, T Stability between cryptocurrency prices and the term structure |
| title | Stability between cryptocurrency prices and the term structure |
| title_full | Stability between cryptocurrency prices and the term structure |
| title_fullStr | Stability between cryptocurrency prices and the term structure |
| title_full_unstemmed | Stability between cryptocurrency prices and the term structure |
| title_short | Stability between cryptocurrency prices and the term structure |
| title_sort | stability between cryptocurrency prices and the term structure |
| work_keys_str_mv | AT castlejl stabilitybetweencryptocurrencypricesandthetermstructure AT kuritat stabilitybetweencryptocurrencypricesandthetermstructure |