Abstract
This study uses a panel smooth transition regression model to investigate the nonlinear relationship between virtual currency and the stock market under the US monetary policy threshold from 7 August 2015 to 27 October 2020. A statistical test showed a threshold effect and confirmed that the relationship between the US stock market and virtual currency is nonlinear. Furthermore, virtual currency fluctuation has asymmetric responses to the US stock market?s fluctuation based on the threshold value. When the federal fund rate exceeds the threshold value, the changes in the S&P500 with a lag of one positively affect the fluctuation of virtual currency.
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