The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility
用结构向量自回归模型分析全球因素对比特币价格的影响，发现比特币自身波动是主要解释因素，芝加哥期权交易所波动率指数（VIX）的影响随时间增强且与价格呈反向关系。
Abstract This study examines the Bitcoin price by taking into account global factors, including the Chicago Board Options Exchange's Market Volatility Index (VIX), the US dollar index, the gold price, the oil price, and Bitcoin price volatility. The analysis is conducted using the structural vector autoregression (SVAR) model. The variance decomposition findings revealed that the influence of the VIX on the Bitcoin price was initially restricted, but progressively intensified over time. Among the indicators, Bitcoin price volatility had the highest explanatory share in both daily and weekly data analysis. The impulse response functions demonstrated a statistically significant inverse relationship between the VIX and the Bitcoin price. Furthermore, the analysis revealed that the Bitcoin price was mostly impacted by its own volatility. This implies that investing in Bitcoin requires a certain level of risk‐taking.