The Influences of USA Stock Market on Virtual Currency Price Under USA Monetary Policy Threshold

This study uses a panel smooth transition regression (PSTR) model to investigate the nonlinear relationship between Virtual currency and stock market under USA monetary policy threshold from August 07, 2015, to October 27, 2020. The statistical test showed a threshold effect and confirmed that the relationship between USA stock market and Virtual currency is nonlinear. Furthermore, virtual currency fluctuation has asymmetric responses to the USA stock market's fluctuation based on the threshold value. When the federal fund rate exceeds the threshold value, the changes of S&P500 with a lag of one positively affect the fluctuation of virtual currency