本研究探討美國聯邦公開市場委員會（Federal Open Market Committee， FOMC）貨幣政策衝擊是否影響比特幣現貨與期貨市場之價格發現。隨著比特幣期貨與相關金融商品發展，比特幣逐漸由去中心化支付工具轉變為與傳統金融市場連結更深的風險性資產，因此貨幣政策資訊是否改變其市場間資訊傳遞機制，成為值得研究的重要議題。本文以比特幣現貨價格與比特幣期貨價格之五分鐘高頻資料為研究對象，並結合 FOMC 宣告日、貨幣政策衝擊的非預期成分及正負向貨幣政策衝擊的非預期成分，運用誤差修正模型檢驗現貨與期貨市場偏離長期均衡後之調整關係，再以共同因子成分方法（Component Share， CS）衡量兩市場對共同有效價格之相對貢獻。 實證結果顯示，比特幣現貨與期貨價格之間存在長期均衡關係，且兩市場皆具有短期誤差修正效果。進一步而言，單純的 FOMC 宣告日效果並非影響價格發現的主要因素，真正具有影響力的是公告內容中超出市場預期的貨幣政策衝擊。當貨幣政策衝擊納入模型後，貨幣政策衝擊不僅會影響比特幣現貨與期貨報酬，也會改變兩市場對價格偏離的調整速度。共同因子成分方法結果顯示，在一般交易期間，比特幣現貨市場具有較高價格發現貢獻；然而，在 FOMC 貨幣政策衝擊進入市場時，比特幣期貨市場之價格發現貢獻明顯提高。此結果表示，比特幣雖具有全天候交易與去中心化特性，但其金融化與機構化發展已使其價格形成過程更容易受到傳統貨幣政策與總體金融資訊影響。;This study investigates whether U.S. monetary policy shocks affect price discovery between Bitcoin spot and futures markets. With the development of Bitcoin futures and related financial products， Bitcoin has gradually transformed from a decentralized payment instrument into a risky asset more closely connected to traditional financial markets. Therefore， whether monetary policy information changes the information transmission mechanism between Bitcoin spot and futures markets has become an important research issue. This study uses five-minute high-frequency data on Bitcoin spot prices and CME (Chicago Mercantile Exchange) Bitcoin futures prices， together with FOMC (Federal Open Market Committee) announcement dates， monetary policy surprise measures， and positive and negative monetary policy shocks. An error correction model is employed to examine the adjustment process between the spot and futures markets when prices deviate from their long-run equilibrium. In addition， the component share measure is used to evaluate the relative contribution of each market to the common efficient price. The empirical results show that a long-run equilibrium relationship exists between Bitcoin spot and futures prices， and both markets exhibit short-run error correction effects. Furthermore， the results suggest that the FOMC announcement day effect alone is not the main factor influencing price discovery. Instead， the unexpected component of monetary policy announcements plays a more important role. After incorporating monetary policy surprises into the model， monetary policy shocks are found to affect not only Bitcoin spot and futures returns， but also the speed at which the two markets adjust to deviations from equilibrium. The Component Share results indicate that， during ordinary trading periods， the Bitcoin spot market contributes more to price discovery. However， when FOMC monetary policy surprises enter the market， the contribution of the CME Bitcoin futures market to price discovery increases significantly. These findings suggest that although Bitcoin is characterized by around-the-clock trading and decentralization， its increasing financialization and institutionalization have made its price formation process more sensitive to traditional monetary policy and macro-financial information.
