联邦公开市场委员会公告的加密货币反应：基于区块链堆栈位置的异质性证据Journal of Financial Stability Available online 16 November 2019, 100706
作者：Shaen Corbet，Charles Larkin ，Brian Lucey ，Andrew Meegan ，Larisa Yarovaya
摘要：本文研究了多种数字资产对美国联邦基金利率和量化宽松公告的反应，特别是研究了相关的波动性溢出和反馈效应。我们将数字资产分为以下三类：货币、协议和分散式应用程序（dApps）。在美国宣布货币政策后的一段时间内，基于货币的数字资产经历了特殊的溢出，而基于应用程序或协议的数字资产在很大程度上不受政策波动性溢出和反馈的影响。可开采的数字资产比不可开采的数字资产更容易受到货币政策波动性溢出和反馈的影响。结果表明在一个多元化的市场中，并非所有资产都可与比特币媲美。
Cryptocurrency reaction to FOMC Announcements: Evidence of Heterogeneity Based on Blockchain Stack Position
Abstract: We examine the response of a broad set of digital assets to US Federal Fund interest rate and quantitative easing announcements, specifically examining associated volatility spillover and feedback effects. We classify each digital asset into one of three categories: Currencies; Protocols; and Decentralised Applications (dApps). Currency-based digital assets experience idiosyncratic spillovers in the period immediately after US monetary policy announcements, while application or protocol-based digital assets are largely immune to policy volatility spillover and feedback. Mineable digital assets are found to be more susceptible to monetary policy volatility spillovers and feedback than non-mineable. Responses indicate a diverse market within which, not all assets are comparable to Bitcoin.
翻译：余辰康
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CAFR区块链应用研究
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