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Identifying Financial Drivers of Bitcoin Price in Times of Economic and Policy Uncertainty: A Threshold Analysis

In: Digitalization and Firm Performance

Author

Listed:
  • Teodora Cristina Barbu

    (Bucharest University of Economic Studies)

  • Iustina Alina Boitan

    (Bucharest University of Economic Studies)

  • Raluca Crina Petrescu

    (Bucharest University of Economic Studies)

  • Cosmin Cepoi

    (Bucharest University of Economic Studies)

Abstract

The chapter considers a comprehensive array of financial variables to reveal their interplay with Bitcoin price. The novelty of our analysis relies on the range of explanatory variables taken into account and in the methodological framework employed, represented by the threshold regression, which allows us to discriminate between Bitcoin determinants in times of increased economic policy uncertainty and in times of certainty and stability. The findings highlight the sensitivity of Bitcoin price to changes in variables related to the equity market, the monetary market, the foreign exchange market, commodity market variables and global financial stress. Overall, Bitcoin is a versatile financial product, exhibiting either a diversifier or a hedging role.

Suggested Citation

  • Teodora Cristina Barbu & Iustina Alina Boitan & Raluca Crina Petrescu & Cosmin Cepoi, 2022. "Identifying Financial Drivers of Bitcoin Price in Times of Economic and Policy Uncertainty: A Threshold Analysis," Springer Books, in: Milena Ratajczak-Mrozek & Paweł Marszałek (ed.), Digitalization and Firm Performance, chapter 0, pages 283-312, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-83360-2_11
    DOI: 10.1007/978-3-030-83360-2_11
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