Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 14, 2023 erstellt
Beschreibung:
Using high-frequency price and volume data from several large exchanges, we show that FOMC and CPI announcements have a massive impact on Bitcoin's realized volatility and volume. However, this effect is a recent phenomenon, which started as inflation rose at the beginning of 2021. We also document large abnormal returns on FOMC announcement days, but contrary to equity markets, the initial FOMC price reaction tends to reverse during the following four hours. Our findings have implications both for theoretical asset pricing models dealing with the resolution of uncertainty and pricing models specific to cryptocurrency