| With the development of Internet Finance driven by Internet technology,risk events occur frequently,spread more widely and have greater impact.After more than ten years of development,the cryptocurrency market has become an existence that can not be ignored in the Internet financial market.Bitcoin,as one of the earliest,largest and most expensive currencies,contains huge risks in its violent price fluctuations.After the large-scale outbreak of the COVID-19 in the world,many countries have implemented loose monetary policy in response to the economic downturn.Under this background,many investors have joined the cryptocurrency market investment.Therefore,it is of great significance to study the impact of monetary policy on the price fluctuation of Bitcoin.The research includes the 10-year Treasury bond futures data and bitcoin data of the United States,China,Europe,Japan and Australia from March 20,2015 to February 28,2022,and copula model and DY2012 model to study the static and dynamic impact of bond market changes caused by price based monetary policy on the price of special currency;The research also includes the data of US dollar index,RMB against US dollar,euro against US dollar,Japanese yen against US dollar,Australian dollar against US dollar and bitcoin from January 1,2013 to February 28,2022,and copula model and DY2012 model to study the static and dynamic impact of foreign exchange market changes caused by price based monetary policy and exchange rate policy on the price of special currency;in addition,the researcher selects the monetary policy announcement date of interest rate adjustment and deposit reserve ratio adjustment by the Federal Reserve,the Central Bank of China,the European Central Bank,the Bank of Japan and the Central Bank of Australia from January 1,2013 to February 28,2022,and use the event study method to study the impact of monetary policy announcement on the price of special currency.It is found that monetary policy may indirectly affect the price fluctuation of bitcoin by affecting the changes of bond market and foreign exchange market,and then through the fluctuation overflow of bitcoin in bond market and foreign exchange market;After the outbreak of the COVID-19,in the case of many countries operating the loose monetary policy,the bitcoin connection to the foreign exchange market and bond market has increased in a certain stage,and the connection between bitcoin market and traditional financial market may be changing;According to the strength and duration of monetary policy,it may aggravate the price fluctuation of bitcoin,but bitcoin will not generate excess returns in the long run. |
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