Scholarlink

<p>This paper investigates the impact of monetary policy uncertainty on cryptocurrency market uncertainty using a time-varying parameter vector autoregression (TVP-VAR) model. Unlike previous studies, it jointly employs the shadow rate and the monetary policy uncertainty (MPU) index to capture monetary policy conditions beyond conventional interest rate movements. The results show substantial time variation in transmission effects. Shadow-rate shocks increase both cryptocurrency price uncertainty and cryptocurrency policy uncertainty, especially after 2021, which is consistent with the liquidity and risk-appetite transmission channel. By contrast, MPU shocks have a limited effect on cryptocurrency uncertainty over most of the sample, consistent with the information and signaling channel. Both types of shocks have a negative effect on Bitcoin returns, suggesting speculative rather than safe-haven behavior. Overall, the findings challenge the view that cryptocurrencies are entirely isolated from central bank actions.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Monetary policy uncertainty and cryptocurrency market uncertainty evidence from time-varying VAR and transmission channels

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2026年7月21日

查看全文
  • Mohamad Husam Helmi,
  • Abdurrahman Nazif Çatık,
  • Coşkun Akdeniz,
  • Arya Akdeniz

摘要

This paper investigates the impact of monetary policy uncertainty on cryptocurrency market uncertainty using a time-varying parameter vector autoregression (TVP-VAR) model. Unlike previous studies, it jointly employs the shadow rate and the monetary policy uncertainty (MPU) index to capture monetary policy conditions beyond conventional interest rate movements. The results show substantial time variation in transmission effects. Shadow-rate shocks increase both cryptocurrency price uncertainty and cryptocurrency policy uncertainty, especially after 2021, which is consistent with the liquidity and risk-appetite transmission channel. By contrast, MPU shocks have a limited effect on cryptocurrency uncertainty over most of the sample, consistent with the information and signaling channel. Both types of shocks have a negative effect on Bitcoin returns, suggesting speculative rather than safe-haven behavior. Overall, the findings challenge the view that cryptocurrencies are entirely isolated from central bank actions.