A1147
Title: Econometric modelling of cryptocurrency prices
Authors: Jennifer L Castle - Oxford University (United Kingdom)
Takamitsu Kurita - Kyoto Sangyo University (Japan) [presenting]
Abstract: 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 several cryptocurrencies and an interest rate spread. This evidence reveals direct implications for timplementingmonetary policy, allowing for the growing influence of digital assets. A policy simulation study using an empirical cointegrated system is conducted to shed light on the controllability of one of the modelled cryptocurrency prices.
