Jul 2026· Uluslararası Iktisadi ve Idari Incelemeler Dergisi· pp. 99-112· 0 citations· 14 references
Abstract
This study examines the short-run effects of U.S. monetary policy shocks on cryptocurrency returns and asks whether digital assets respond to conventional macroeconomic transmission mechanisms. Focusing on the post-2020 period, it evaluates the magnitude, direction, and persistence of Federal Reserve rate shocks across Bitcoin, Ethereum, Solana, Ripple, and TRON. The analysis applies an SVAR-X framework to daily data for January 2020-December 2025. Cryptocurrency log returns are treated as endogenous variables, while the U.S. Dollar Index and VIX are included as exogenous controls; federal funds rate changes are modelled as strictly exogenous policy shocks. Impulse-response results show positive and significant contemporaneous responses for Bitcoin, Ethereum, Solana, and TRON, but no significant reaction for XRP. These effects dissipate within days, indicating modest, short-lived, and heterogeneous monetary-policy transmission rather than persistent effects on cryptocurrency return dynamics over time.
This paper examines how Bitcoin returns interact with macroeconomic and financial drivers—specifically inflation, industrial production, money supply, stock market returns, the wholesale price index, and financial conditions—using monthly data from April 2015 to March 2025. Methodologically, we apply Augmented Dickey-F...
This paper investigates the dynamic relationship between macroeconomic factors—particularly Bitcoin pricing—and the equity returns of firms in the financial technology (FinTech) sector. Using a Structural Vector Autoregression (SVAR) framework with daily data from July 2013 to March 2025, the analysis examines how shoc...
Omar A. Esqueda, Mohammad Sharif Karimi, Daniel Perez Liston et al.· Applied Finance Letters· 0 citations
This study examines whether major cryptocurrency returns respond systematically to scheduled Federal Reserve (Fed) interest rate announcements and whether FOMC-window movements are explained more by realised policy decisions or by broader risk-sentiment conditions. Using daily data for Bitcoin, Ethereum, XRP, Dogecoin,...
Mesut Savrul· Journal of Economic Policy R...· 0 citations
This study examines whether monetary tightening amplifies the negative effect of VIX shocks on U.S. bank stock returns. Using daily public data from January 2010 to March 2026, the analysis constructs a panel of returns for four exchange-traded funds: KBE, KRE, XLF and SPY. Large increases in the CBOE Volatility Index...
Junhe Guan· Advances in Economics, Manag...· 0 citations
This paper studies the financial-market transmission of the April 2025 U.S. tariff announcements, with a particular focus on the unusual combination of dollar depreciation and rising long-term U.S. Treasury yields. We ask whether the market reaction can be understood as the propagation of a single tariff-announcement s...
Lucas ter Steege, S. Velasco· Documento de trabajo· 0 citations
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