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Corbet, S., Larkin, C., Lucey, B., Meegan, A. and Yarovaya, L. (2020) Cryptocurrency Reaction to FOMC Announcements: Evidence of Heterogeneity Based on Blockchain Stack Position. Journal of Financial Stability, 46, Article 100706.
https://doi.org/10.1016/j.jfs.2019.100706

has been cited by the following article:

• TITLE: Modeling Cryptocurrency Market Volatility during FOMC Announcements: Evidence from High-Frequency Data

  AUTHORS: Barış Falay

  KEYWORDS: Realized Volatility, Cryptocurrency, High-Frequency Data, FOMC

  JOURNAL NAME: Journal of Mathematical Finance, Vol.14 No.4, September 24, 2024

  ABSTRACT: This study investigates the impact of Federal Open Market Committee (FOMC) announcements on cryptocurrency market volatility using high-frequency data. Realized Variance (RV) is used to measure cryptocurrency market volatility, with a focus on Bitcoin (BTC). Using a dataset of over 3.4 million observations, our results indicate that cryptocurrency market volatility significantly increases on FOMC announcement days. Furthermore, we show that intraday volatility is not stable during the FOMC announcement period, with notable fluctuations both before (11 a.m.) and after (3 p.m.) the key monetary policy announcement. The empirical evidence provides crucial information about the reaction of the cryptocurrency market to macroeconomic policy news, offering valuable insights for investors, policymakers, and researchers.