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Kripto Para Fiyatları İle BRICS Ülkelerinin Gayri Safi Milli Hasılaları Arasındaki Nedensellik İlişkisinin İncelenmesi: Bitcoin Örneği

Year 2023, Volume: 5 Issue: 2, 151 - 158, 29.12.2023

Abstract

Çalışmanın amacı, en popüler kripto para birimi olan BITCOIN ile BRICS ülkelerinin (Brezilya, Rusya, Hindistan, Çin, Güney Afrika) yıllık Gayrı Safi Milli Hasıla (GSMH) değerleri arasındaki nedensellik ilişkisini araştırmaktır. Bu kapsamda C. W. J. Granger (1969) tarafından geliştirilmiş olan Granger Nedensellik Modeli kullanılmıştır. 2010 – 2020 yılları arası yıllık BITCOIN fiyatları ile yıllık BRICS ülkelerinin GSMH verileri analize dahil edilerek hesaplamalar yapılmıştır. Yapılan analizde dikkat çeken sonuç, Çin’in GSMH verileri ile BITCOIN fiyatları arasındaki ilişki hesaplandığında bunların çift yönlü olarak nedensellik ilişkisi oluşturduğu yönünde çıkmıştır. Diğer BRICS ülkelerinin GSMH verileri ile BITCOIN fiyatları arasında anlamlı bir ilişki görülmemiştir.

References

  • Abed, A. M. (2023). Impact of using cryptocurrencies on monetary policy: A model of El Salvador. Quantrade Journal of Complex Systems in Social Sciences, 5(1), 32-44.
  • Andrean, G. (2020). Determinant of the Bitcoin prices as alternative invesment in Indonesia. Indicators: Journal of Economic and Business, 1(1), 22-29.
  • Arıcan, Erişah ve Yücememiş, Tanınmış, Başak, Bitcoin. Ankara: Nobel Yayınevi, 2018.
  • Atabaş, Hakan, Blokzinciri Teknolojisi ve Kripto Paraların Hayatımızdaki Yeri. İstanbul: Ceres Yayınları, 2018.
  • Baek Chung; Elbeck Matt (2015). “Bitcoins As an Investment or Speculative Vehicle? A First Look”, Applied Economics Letters, 22, s. 30-34.
  • Bouoiyour Jamal, Selmi Refk, Tiwari Aviral Kumar (2015). “Is Bitcoin Business Income or Speculative Foolery? New Ideas Through an Improved Frequency Domain Analysis”, Annals of Financial Economics,10 (1), s. 1-23.
  • Çarkacıoğlu, A. (2016). Kripto-Para Bitcoin. Sermaye Piyasası Kurulu Araştırma Dairesi. http://www.spk.gov.tr/SiteApps/Yayin/YayinGoster/1130
  • Dyhrberg Anne Haubo (2016). “Hedging Capabilities of Bitcoin. Is It the Virtual Gold?”, Finance Research Letters, 16, s. 139-144.
  • Göttfert, Joline (2018) Cointegration Among Cryptocurrencies: A Cointegration Analysis Of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin And Ripple, UMEA Universitet. Master Thesis, 2019.
  • Granger, C. W. J. (1969). "Investigating Causal Relations by Econometric Models and Cross-spectral Methods". Econometrica. 37 (3). ss. 424-438.
  • Hacioglu, U. (2020). Blockchain economics and financial market innovation. Springer, Switzerland.
  • https://tr.investing.com/crypto/bitcoin (Erişim Tarihi: 20 Ocak 2022)
  • https://www.bbc.com/turkce/haberler-dunya-58682451#:~:text=%C3%87in%20Merkez%20Bankas%C4%B1%2C%20kripto%20paralar,yasa%20d%C4%B1%C5%9F%C4%B1%20faaliyetlerdir%22%20ifadesini%20kulland%C4%B1. (Erişim Tarihi: 20 Ocak 2022)
  • İçellioğlu, C. S. ve Öztürk, M. B. E. (2017). Bitcoin ile seçili döviz kurları arasındaki ilişkinin araştırılması: 2013-2017 dönemi için johansen testi ve granger nedensellik testi, Maliye ve Finans Yazıları, 109, 51-70.
  • Karaağaç, Adana, Gökben ve Altınırmak, Serpil, “En Yüksek Piyasa Değerine Sahip On Kripto Paranın Birbirleriyle Etkileşimi”, Muhasebe ve Finansman Dergisi. (79), 2018, 123-138.
  • Kasper, J. (2017). Evolution of bitcoin: volatility comparisons with least developed countries’currencies. Journal of Internet Banking and Commerce, 22(3), 1-18.
  • Kendirli, S., & Şenol, F. Y. (2021). Crypto Currencies in the Framework of Chaos Theory and the Relationship of Crypto Currency with Big Exchanges. Quantrade Journal of Complex Systems in Social Sciences, 3(2), 15-23.
  • Koy, A., Yaman, M., & Mete, S. (2021). Kripto paraların volatilite modelinde ABD borsa endekslerinin yeri: Bitcoin üzerine bir uygulama. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(24), 159-170. https://doi.org/10.14784/marufacd.880672
  • Nair, J., ve Motwani, D. A. (2018). Crypto currency: bubble or boom. International Journal of Advance Research in Computer Science and Management Studies, 6(1), 35-42.
  • Nakamoto, S. (2009). Bitcoin: a peer-to-peer electronic cash system. Mayıs, 1-9.
  • Pichl, L. ve Kaizoji, T. (2017). Volatility analysis of bitcoin price time series. Quantitative Finance and Economics, 1(4), 474-485.
  • Ulusoy, T., & Çelik, M. Y. (2019). Is It Possible to Understand the Dynamics of Cryptocurrency Markets Using Econophysics? Crypto-Econophysics. Blockchain Economics and Financial Market Innovation: Financial Innovations in the Digital Age, 233-247.
  • Uygun, O. (2019). Using Blockchain and Cryptocurrency A Model of Resources Based Economy. Quantrade Journal of Complex Systems in Social Sciences, 1(1), 40-46.
  • Sezal, L. (2023). Dolar endeksi ve kripto paralar arasındaki ilişkinin incelenmesi: Bitcoin örneği. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 16(1), 53-65. https://doi.org/10.25287/ohuiibf.1082473
  • Vockathaler Brian (2015). “The Bitcoin Boom: An In-Depth Analysis of The Price of Bitcoins”, Major Research Paper University of Ottawa, s. 1-75. https://ruor.uottawa.ca/bitstream/10393/32888/1/Vockathaler_ Brian_2015_researchpaper.pdf, (Erişim Tarihi: 20.01.2022)

Investıgatıon of the Causal Relatıonshıp Between Crypto Currency Prıces and The Gross Domestıc Products of Brıcs Countrıes: Bıtcoin Example

Year 2023, Volume: 5 Issue: 2, 151 - 158, 29.12.2023

Abstract

The aim of the study is to investigate the causal relationship between the most popular cryptocurrency, BITCOIN, and the annual Gross National Product (GNP) values of the BRICS countries (Brazil, Russia, India, China, and South Africa). In this context, the Granger Causality Model developed by C. W. J. Granger (1969) was used. Annual BITCOIN prices and annual GNP data of BRICS countries between 2010 and 2020 were included in the analysis and calculations were made. The striking result in the analysis was that when the relationship between China's GNP data and BITCOIN prices was calculated, they formed a bidirectional causality relationship. There was no significant relationship between GNP data of other BRICS countries and BITCOIN prices.

References

  • Abed, A. M. (2023). Impact of using cryptocurrencies on monetary policy: A model of El Salvador. Quantrade Journal of Complex Systems in Social Sciences, 5(1), 32-44.
  • Andrean, G. (2020). Determinant of the Bitcoin prices as alternative invesment in Indonesia. Indicators: Journal of Economic and Business, 1(1), 22-29.
  • Arıcan, Erişah ve Yücememiş, Tanınmış, Başak, Bitcoin. Ankara: Nobel Yayınevi, 2018.
  • Atabaş, Hakan, Blokzinciri Teknolojisi ve Kripto Paraların Hayatımızdaki Yeri. İstanbul: Ceres Yayınları, 2018.
  • Baek Chung; Elbeck Matt (2015). “Bitcoins As an Investment or Speculative Vehicle? A First Look”, Applied Economics Letters, 22, s. 30-34.
  • Bouoiyour Jamal, Selmi Refk, Tiwari Aviral Kumar (2015). “Is Bitcoin Business Income or Speculative Foolery? New Ideas Through an Improved Frequency Domain Analysis”, Annals of Financial Economics,10 (1), s. 1-23.
  • Çarkacıoğlu, A. (2016). Kripto-Para Bitcoin. Sermaye Piyasası Kurulu Araştırma Dairesi. http://www.spk.gov.tr/SiteApps/Yayin/YayinGoster/1130
  • Dyhrberg Anne Haubo (2016). “Hedging Capabilities of Bitcoin. Is It the Virtual Gold?”, Finance Research Letters, 16, s. 139-144.
  • Göttfert, Joline (2018) Cointegration Among Cryptocurrencies: A Cointegration Analysis Of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin And Ripple, UMEA Universitet. Master Thesis, 2019.
  • Granger, C. W. J. (1969). "Investigating Causal Relations by Econometric Models and Cross-spectral Methods". Econometrica. 37 (3). ss. 424-438.
  • Hacioglu, U. (2020). Blockchain economics and financial market innovation. Springer, Switzerland.
  • https://tr.investing.com/crypto/bitcoin (Erişim Tarihi: 20 Ocak 2022)
  • https://www.bbc.com/turkce/haberler-dunya-58682451#:~:text=%C3%87in%20Merkez%20Bankas%C4%B1%2C%20kripto%20paralar,yasa%20d%C4%B1%C5%9F%C4%B1%20faaliyetlerdir%22%20ifadesini%20kulland%C4%B1. (Erişim Tarihi: 20 Ocak 2022)
  • İçellioğlu, C. S. ve Öztürk, M. B. E. (2017). Bitcoin ile seçili döviz kurları arasındaki ilişkinin araştırılması: 2013-2017 dönemi için johansen testi ve granger nedensellik testi, Maliye ve Finans Yazıları, 109, 51-70.
  • Karaağaç, Adana, Gökben ve Altınırmak, Serpil, “En Yüksek Piyasa Değerine Sahip On Kripto Paranın Birbirleriyle Etkileşimi”, Muhasebe ve Finansman Dergisi. (79), 2018, 123-138.
  • Kasper, J. (2017). Evolution of bitcoin: volatility comparisons with least developed countries’currencies. Journal of Internet Banking and Commerce, 22(3), 1-18.
  • Kendirli, S., & Şenol, F. Y. (2021). Crypto Currencies in the Framework of Chaos Theory and the Relationship of Crypto Currency with Big Exchanges. Quantrade Journal of Complex Systems in Social Sciences, 3(2), 15-23.
  • Koy, A., Yaman, M., & Mete, S. (2021). Kripto paraların volatilite modelinde ABD borsa endekslerinin yeri: Bitcoin üzerine bir uygulama. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(24), 159-170. https://doi.org/10.14784/marufacd.880672
  • Nair, J., ve Motwani, D. A. (2018). Crypto currency: bubble or boom. International Journal of Advance Research in Computer Science and Management Studies, 6(1), 35-42.
  • Nakamoto, S. (2009). Bitcoin: a peer-to-peer electronic cash system. Mayıs, 1-9.
  • Pichl, L. ve Kaizoji, T. (2017). Volatility analysis of bitcoin price time series. Quantitative Finance and Economics, 1(4), 474-485.
  • Ulusoy, T., & Çelik, M. Y. (2019). Is It Possible to Understand the Dynamics of Cryptocurrency Markets Using Econophysics? Crypto-Econophysics. Blockchain Economics and Financial Market Innovation: Financial Innovations in the Digital Age, 233-247.
  • Uygun, O. (2019). Using Blockchain and Cryptocurrency A Model of Resources Based Economy. Quantrade Journal of Complex Systems in Social Sciences, 1(1), 40-46.
  • Sezal, L. (2023). Dolar endeksi ve kripto paralar arasındaki ilişkinin incelenmesi: Bitcoin örneği. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 16(1), 53-65. https://doi.org/10.25287/ohuiibf.1082473
  • Vockathaler Brian (2015). “The Bitcoin Boom: An In-Depth Analysis of The Price of Bitcoins”, Major Research Paper University of Ottawa, s. 1-75. https://ruor.uottawa.ca/bitstream/10393/32888/1/Vockathaler_ Brian_2015_researchpaper.pdf, (Erişim Tarihi: 20.01.2022)
There are 25 citations in total.

Details

Primary Language English
Subjects Econometric and Statistical Methods
Journal Section Research Article
Authors

Selcuk Kendirli 0000-0001-7381-306X

Görkem Nergiz

Early Pub Date December 25, 2023
Publication Date December 29, 2023
Submission Date November 17, 2023
Acceptance Date December 10, 2023
Published in Issue Year 2023 Volume: 5 Issue: 2

Cite

APA Kendirli, S., & Nergiz, G. (2023). Investıgatıon of the Causal Relatıonshıp Between Crypto Currency Prıces and The Gross Domestıc Products of Brıcs Countrıes: Bıtcoin Example. Quantrade Journal of Complex Systems in Social Sciences, 5(2), 151-158.

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