Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2024.
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Previous issue date: 2025-02-10
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In its theoretical part of this thesis we examine the nature, function and implications of digital currencies, with a
particular focus on Bitcoin. The concepts of digital money, cryptocurrencies and stablecoins are examined, as well as the role
of central banking digital currencies (CBDCs). Cryptocurrency price volatility and potential implications for financial stability
are analyzed. We also explore the regulatory challenges and possible solutions for the safe integration of digital currencies into
the existing financial system. Finally, the situation in China is examined as an example of a country trying to balance innovation
with regulatory security through the digital yuan (e-CNY). In the empirical part of this, the effect of monetary policy is
examined using the event-study method on the price of Bitcoin (BTC), comparing it with the SP500 index and gold. Although
the literature argues that monetary policy announcements affect the price of Bitcoin (Ma et al, 2022), our results do not confirm
their findings, but confirm that of Vidal-Tomas and Ibanez (2018). Using up-to-date data and various statistical methods, such
as linear effects, wild bootstrap, and Quantile regression, we found that Bitcoin is not significantly affected by monetary policy
over the long term (Vidal-Tomas and Ibanez 2018), but only in isolated and few FOMC announcements. However, after
excluding outliers, we find that there is strong statistical significance in the influence of monetary policy on Bitcoin, and less
so on the SP500 and Gold. Also, using Quantile regression, VAR and Impulse Response Functions with additional variables
such as Uncertainty Index, VIX, 2 Year Securities and Risk Aversion, we concluded that Bitcoin, SP500 and Gold show
particular reactions to these variables
(EN)
University of Macedonia
