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Monetary policy shocks and Bitcoin prices

The paper analyzes the impact of changes in U.S. monetary policy on Bitcoin prices. We find that a hypothetical unanticipated monetary tightening, which increases 1 bp on two-year Treasury yield, is associated with about a 0.25\% decrease in Bitcoin price on the Federal Open Market Committee(FOMC) meeting day. The accumulated effect is much stronger in the next few days after FOMC meeting. Quantile regression indicates a greater impact of monetary policy surprises on Bitcoin during the market boom.