Speculative Independence or Monetary Sensitivity? A Structural Cointegration and Causality Analysis of Bitcoin, Growth, and Interest Rates

Abstract

This study examines the dynamic linkages among Bitcoin (BTC) prices, U.S. interest rates, and economic growth using quarterly data from 2012Q3 to 2025Q1 within a nonlinear time series framework that incorporates structural breaks. Stationarity is assessed using the Kruse and Fourier unit root tests, while long-run relationships are evaluated with the Augmented-ARDL cointegration method. Long-run coefficients are estimated with CCR, DOLS, and FMOLS. Causal relationships are explored through the Fourier-Toda-Yamamoto test. Results show a significant and positive long-run effect of interest rates on BTC, implying its role as a speculative hedge during monetary tightening. No cointegration is found between BTC and growth, indicating weak macro-financial integration. Additionally, growth Granger-causes interest rate decisions, consistent with Taylor Rule expectations, while no causality is observed from monetary policy(interest rate) to BTC. These findings highlight the decoupling of cryptocurrency markets from traditional financial tools, underscoring the need for adaptable regulatory strategies.

Keywords

• Cryptocurrency Markets
• Monetary Policy
• Interest Rate
• Structural Breaks
• Nonlinear Time Series
• Economic Growth

Spekülatif Bağımsızlık mı Yoksa Parasal Duyarlılık mı? Bitcoin, Büyüme ve Faiz Oranlarının Yapısal Eşbütünleşme ve Nedensellik Analizi

Abstract

Bu çalışma, Bitcoin (BTC) fiyatları, ABD faiz oranları ve ekonomik büyüme arasındaki dinamik ilişkileri, yapısal kırılmaları içeren doğrusal olmayan zaman serisi çerçevesinde, 2012 üçüncü çeyrek ile 2025 birinci çeyrek arasındaki üçer aylık verilerle incelemektedir. Durağanlık Kruse ve Fourier Kruse birim kök testleriyle değerlendirilirken, uzun dönemli ilişkiler Genişletilmiş ARDL eşbütünleşme yöntemiyle analiz edilmiştir. Uzun dönem katsayıları CCR, DOLS ve FMOLS yöntemleriyle tahmin edilmiştir. Nedensellik ilişkileri ise Fourier-Toda-Yamamoto testiyle araştırılmıştır. Sonuçlar, faiz oranlarının BTC üzerinde anlamlı ve pozitif uzun dönemli bir etkisi olduğunu göstermektedir; bu da BTC’nin parasal sıkılaşma dönemlerinde spekülatif bir korunma aracı olarak işlev gördüğünü ima etmektedir. BTC ile ekonomik büyüme arasında eşbütünleşme bulunmamış, bu da zayıf makro-finansal entegrasyona işaret etmektedir. Ayrıca, ekonomik büyümenin faiz oranı kararlarını Granger nedenselliğiyle etkilediği görülmüş, bu durum Taylor Kuralı beklentileriyle uyumludur. Öte yandan, para politikasından (faiz oranı) BTC’ye doğru herhangi bir nedensellik ilişkisi tespit edilmemiştir. Bu bulgular, kripto piyasalarının geleneksel para politikası araçlarından ayrıştığını vurgulamakta ve esnek düzenleyici stratejilere ihtiyaç olduğunu göstermektedir.

Keywords

• Kripto Para Piyasaları
• Para Politikası
• Ekonomik Büyüme
• Faiz Oranı
• Yapısal Kırılmalar
• Doğrusal Olmayan Zaman Serileri

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