Non-linear adjustment of the Bitcoin–US dollar exchange rate

被引：0

作者：

Wajdi Moussa

Nidhal Mgadmi

Rym Regaïeg

Abdelhafidh Othmani

机构：

[1] Lab: GEF2A, University of Tunis, Higher Institute of Management of Tunis, 41, Rue de la Liberté, Cité Bouchoucha 2000 Le Bardo, Tunis

[2] Faculty of Economics and Management of Tunis, University of Tunis, B.P 248 2092, Tunis

来源：

Digital Finance | 2020年 / 2卷 / 1-2期

关键词：

Bitcoin; Co-integration; G12; G14; Nonlinear models;

D O I：

10.1007/s42521-020-00020-4

中图分类号：

学科分类号：

摘要：

This paper analyses the relationship between BitCoin price and social media. The aim of the study was to investigate the adjustment process of the Bitcoin/dollar exchange rate towards its long-run equilibrium value in a nonlinear panel framework. A smooth transition error correction model is estimated to empirically validate the adjustment of the Bitcoin/dollar exchange rate in relation to its fundamental value. Results depict the presence of a nonlinear adjustment mechanism that reduces the Bitcoin/dollar rate to a partially stable long-term situation. Further, we find empirical evidence that the social media is an effective tool in today’s Bitcoin/dollar exchange rate process. © Springer Nature Switzerland AG 2020.

引用

页码：143 / 158

页数：15

共 31 条

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