Research Article
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Year 2021, Volume: 11 Issue: 1, 7 - 16, 15.04.2021

Samet Gürsoy

Abstract

Keywords

Para Politikası Belirsizliği (MPU),

References

  • Al-Yahyaee, K. H., Shahzad, S. J. H. and Mensi, W. (2020). Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods. International Economics, 161, 66–82.
  • Arbatli, E., Davis, S., Ito, A. and Miake, N. (2017). Policy Uncertainty In Japan. Cambridge, MA.
  • Atik, M., Köse, Y., Yılmaz, B. and Sağlam, F. (2015). Kripto Para: Bitcoin ve Döviz Kurları Üzerine Etkileri. Bartın Üniversitesi İİBF Dergisi, 6(11), 247–261.
  • Baker, S. R., Bloom, N. and Davis, S. J. (2016). Measuring Economic Policy Uncertainty.
  • Balcilar, M., Gupta, R., Lee, C.-C. and Olasehinde-Williams, G. (2020). Insurance and economic policy uncertainty. Research in International Business and Finance,54(June 2019), 101253. doi:10.1016/j.ribaf.2020.101253
  • Bartos, J. (2015). Does Bitcoin follow the hypothesis of efficient market? International Journal of Economic Sciences, IV(2), 10–23. doi:10.20472/ES.2015.4.2.002
  • Brière, M., Oosterlinck, K. and Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with bitcoin. Journal of Asset Management, 16(6), 365–373. doi:10.1057/jam.2015.5
  • Demir, E., Gozgor, G., Lau, C. K. M. and Vigne, S. A. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters, 26(January), 145–149. doi:10.1016/j.frl.2018.01.005
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1072. doi:10.2307/1912517
  • Granger, C. W. J. and Yoon, G. (2002). Hidden Cointegration. SSRN Electronic Journal. Elsevier BV. doi:10.2139/ssrn.313831
  • Grinberg, R. (2012). Bitcoin: An Innovative Alternative Digital Currency. Hastings Science & Technology Law Journal, 4(159). https://heinonline.org/HOL/Page handle=hein.journals/hascietlj4&id=163&div=&collection= from retrieved.
  • Güney, P. Ö. (2020). Ekonomik Politika Belirsizliği ve Döviz Kuru Oynaklığı. Bankacılar Dergisi, (114).
  • https://www.tbb.org.tr/Content/Upload/dergiler/dosya/89/tbb_114.pdf#page=5 from retrieved.
  • Gupta, R., Lau, C. K. M., Nel, J. A. and Sheng, X. (2020). Monetary policy uncertainty spillovers in time and frequency domains. Journal of Economic Structures, 9(1), 41. doi:10.1186/s40008-020-00219-z
  • Hofstede, G. (1983). Culture’s Consequences. Organization Studies, 4(4), 390–391. doi:10.1177/017084068300400409
  • Husted, L., Rogers, J. and Sun, B. (2017). Monetary Policy Uncertainty. International Finance Discussion Paper, 2017(1215), 1–56. doi:10.17016/IFDP.2017.1215 https://www.policyuncertainty.com/
  • https://tr.investing.com/ (erişim: 04.01.2021)
  • Kristoufek, L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports, 3(1), 1–7. doi:10.1038/srep03415
  • Lee, J. and Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4), 1082–1089. doi:10.1162/003465303772815961
  • Lee, J. and Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break. Appalachian State University Working Papers, 4(17), 1–15.
  • Ng, S. and Perron, P. (2001). LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power. Econometrica, 69(6), 1519–1554. doi:10.1111/1468-0262.00256
  • Nguyen, T. V. H., Nguyen, B. T., Nguyen, K. S. and Pham, H. (2019). Asymmetric monetary policy effects on cryptocurrency markets. Research in International Business and Finance, 48, 335–339. doi:10.1016/j.ribaf.2019.01.011
  • Oğuz, O. (2020). Borsa Endeks Getirisinin Yatırım Fonları Portföyündeki Pay Senedi Oranına Etkisi: Nedensellik Analizi. Politics, Humanities & Social Sciences, 3(1), 24–35. https://dergipark.org.tr/en/pub/ijephss/643776 from retrieved.
  • Ongan, S. and Gocer, I. (2021). Monetary policy uncertainties and demand for money for Japan: Nonlinear ARDL approach. Journal of the Asia Pacific Economy, 26(1), 1–12. doi:10.1080/13547860.2019.1703880
  • Phillips, P. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. doi:10.1093/biomet/75.2.335
  • Shaikh, I. (2020). Policy uncertainty and Bitcoin returns. Borsa Istanbul Review, 20(3), 257–268. doi:10.1016/j.bir.2020.02.003
  • Vidal-Tomás, D. and Ibañez, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259–265. doi:10.1016/j.frl.2018.03.013
  • Wang, G.-J., Xie, C., Wen, D. and Zhao, L. (2019). When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin. Finance Research Letters, 31, 489–497. doi:10.1016/j.frl.2018.12.028
  • Yılancı, V. (2009). Yapısal Kırılmalar Altında Türkiye İçin İşsizlik Histerisinin Sınanması. Doğuş Üniversitesi Dergisi, 10(2), 324–335. http://journal.dogus.edu.tr/index.php/duj/article/view/53 from retrieved.
  • Yılancı, V. and Bozoklu, Ş. (2014). Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. Ege Academic Review, 14(2), 211–220.

ABD ve Japonya Para Politikası Belirsizliğinin Bitcoin Fiyatları Üzerindeki Etkisi

Year 2021, Volume: 11 Issue: 1, 7 - 16, 15.04.2021

Samet Gürsoy

Abstract

Bitcoin, son yüzyılın en meydan okuyan girişim örneklerindendir. Bu doğrultuda Bitcoin’e olan ilgi de hem kripto borsalarda hem de akademik literatürde çokça yer almaktadır. Genelde yapılan çalışmalarda, Bitcoin fiyatı üzerinde etkili olabileceği düşünülen finansal varlık rasyoları dikkate alınmaktadır. Bu çalışmada ise gazete ve medya haberlerinde Para Politikası Belirsizliği (MPU) ile ilgili yer alan haberler dikkate alınarak oluşturulan endeksler kullanılmıştır.
Bu çalışmada, Ağustos 2010-Ağustos 2020 dönemlerinde Bitcoin fiyatı ile ABD ve Japonya Para Politikası Belirsizliği (MPU) endeksleri arasında aylık veriler kullanılarak, Hatemi-J (2012) asimetrik nedensellik testi çalıştırılmıştır. Çalışmanın sonunda ABD ve Japonya para politikası belirsizliği ile Bitcoin fiyatları arasında ne tek yönlü ne de çift bir nedensellik ilişkisine rastlanmamıştır. Bu çalışmada yer alan veriler ve değişkenler göz önüne alındığında, ABD ve Japon para politikası belirsizliği ile ilgili haberler ile Bitcoin fiyatları arasında bir ilişki olmadığı sonucuna varılmıştır

Keywords

Para Politikası Belirsizliği (MPU), kripto paralar, bitcoin

References

  • Al-Yahyaee, K. H., Shahzad, S. J. H. and Mensi, W. (2020). Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods. International Economics, 161, 66–82.
  • Arbatli, E., Davis, S., Ito, A. and Miake, N. (2017). Policy Uncertainty In Japan. Cambridge, MA.
  • Atik, M., Köse, Y., Yılmaz, B. and Sağlam, F. (2015). Kripto Para: Bitcoin ve Döviz Kurları Üzerine Etkileri. Bartın Üniversitesi İİBF Dergisi, 6(11), 247–261.
  • Baker, S. R., Bloom, N. and Davis, S. J. (2016). Measuring Economic Policy Uncertainty.
  • Balcilar, M., Gupta, R., Lee, C.-C. and Olasehinde-Williams, G. (2020). Insurance and economic policy uncertainty. Research in International Business and Finance,54(June 2019), 101253. doi:10.1016/j.ribaf.2020.101253
  • Bartos, J. (2015). Does Bitcoin follow the hypothesis of efficient market? International Journal of Economic Sciences, IV(2), 10–23. doi:10.20472/ES.2015.4.2.002
  • Brière, M., Oosterlinck, K. and Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with bitcoin. Journal of Asset Management, 16(6), 365–373. doi:10.1057/jam.2015.5
  • Demir, E., Gozgor, G., Lau, C. K. M. and Vigne, S. A. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters, 26(January), 145–149. doi:10.1016/j.frl.2018.01.005
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1072. doi:10.2307/1912517
  • Granger, C. W. J. and Yoon, G. (2002). Hidden Cointegration. SSRN Electronic Journal. Elsevier BV. doi:10.2139/ssrn.313831
  • Grinberg, R. (2012). Bitcoin: An Innovative Alternative Digital Currency. Hastings Science & Technology Law Journal, 4(159). https://heinonline.org/HOL/Page handle=hein.journals/hascietlj4&id=163&div=&collection= from retrieved.
  • Güney, P. Ö. (2020). Ekonomik Politika Belirsizliği ve Döviz Kuru Oynaklığı. Bankacılar Dergisi, (114).
  • https://www.tbb.org.tr/Content/Upload/dergiler/dosya/89/tbb_114.pdf#page=5 from retrieved.
  • Gupta, R., Lau, C. K. M., Nel, J. A. and Sheng, X. (2020). Monetary policy uncertainty spillovers in time and frequency domains. Journal of Economic Structures, 9(1), 41. doi:10.1186/s40008-020-00219-z
  • Hofstede, G. (1983). Culture’s Consequences. Organization Studies, 4(4), 390–391. doi:10.1177/017084068300400409
  • Husted, L., Rogers, J. and Sun, B. (2017). Monetary Policy Uncertainty. International Finance Discussion Paper, 2017(1215), 1–56. doi:10.17016/IFDP.2017.1215 https://www.policyuncertainty.com/
  • https://tr.investing.com/ (erişim: 04.01.2021)
  • Kristoufek, L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports, 3(1), 1–7. doi:10.1038/srep03415
  • Lee, J. and Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4), 1082–1089. doi:10.1162/003465303772815961
  • Lee, J. and Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break. Appalachian State University Working Papers, 4(17), 1–15.
  • Ng, S. and Perron, P. (2001). LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power. Econometrica, 69(6), 1519–1554. doi:10.1111/1468-0262.00256
  • Nguyen, T. V. H., Nguyen, B. T., Nguyen, K. S. and Pham, H. (2019). Asymmetric monetary policy effects on cryptocurrency markets. Research in International Business and Finance, 48, 335–339. doi:10.1016/j.ribaf.2019.01.011
  • Oğuz, O. (2020). Borsa Endeks Getirisinin Yatırım Fonları Portföyündeki Pay Senedi Oranına Etkisi: Nedensellik Analizi. Politics, Humanities & Social Sciences, 3(1), 24–35. https://dergipark.org.tr/en/pub/ijephss/643776 from retrieved.
  • Ongan, S. and Gocer, I. (2021). Monetary policy uncertainties and demand for money for Japan: Nonlinear ARDL approach. Journal of the Asia Pacific Economy, 26(1), 1–12. doi:10.1080/13547860.2019.1703880
  • Phillips, P. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. doi:10.1093/biomet/75.2.335
  • Shaikh, I. (2020). Policy uncertainty and Bitcoin returns. Borsa Istanbul Review, 20(3), 257–268. doi:10.1016/j.bir.2020.02.003
  • Vidal-Tomás, D. and Ibañez, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259–265. doi:10.1016/j.frl.2018.03.013
  • Wang, G.-J., Xie, C., Wen, D. and Zhao, L. (2019). When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin. Finance Research Letters, 31, 489–497. doi:10.1016/j.frl.2018.12.028
  • Yılancı, V. (2009). Yapısal Kırılmalar Altında Türkiye İçin İşsizlik Histerisinin Sınanması. Doğuş Üniversitesi Dergisi, 10(2), 324–335. http://journal.dogus.edu.tr/index.php/duj/article/view/53 from retrieved.
  • Yılancı, V. and Bozoklu, Ş. (2014). Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. Ege Academic Review, 14(2), 211–220.

The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price

Year 2021, Volume: 11 Issue: 1, 7 - 16, 15.04.2021

Samet Gürsoy

Abstract

The Interest in Bitcoin is increasing both in cryptocurrency exchanges and academic studies. Studies generally take into account financial asset variables that are thought to have an impact on the price of Bitcoin. In this study, it was used the monetary policy uncertainty indices based on the terms of the newspaper news about monetary policy uncertainty (MPU).
In the study, it was analyzed the monthly data of the Bitcoin price and the US and Japanese monetary policy uncertainty indices by using the Hatemi-J (2012) asymmetric causality test in period of the August 2010 and August 2020. The study findings show that there is no causality between US and Japanese monetary policy uncertainty and Bitcoin prices. During the study period, it was concluded that there is no relationship between the news about US and Japanese monetary policy uncertainty and Bitcoin prices.

Keywords

Monetary Policy Uncertainty (MPU) Cryptocurrencies Bitcoin

References

  • Al-Yahyaee, K. H., Shahzad, S. J. H. and Mensi, W. (2020). Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods. International Economics, 161, 66–82.
  • Arbatli, E., Davis, S., Ito, A. and Miake, N. (2017). Policy Uncertainty In Japan. Cambridge, MA.
  • Atik, M., Köse, Y., Yılmaz, B. and Sağlam, F. (2015). Kripto Para: Bitcoin ve Döviz Kurları Üzerine Etkileri. Bartın Üniversitesi İİBF Dergisi, 6(11), 247–261.
  • Baker, S. R., Bloom, N. and Davis, S. J. (2016). Measuring Economic Policy Uncertainty.
  • Balcilar, M., Gupta, R., Lee, C.-C. and Olasehinde-Williams, G. (2020). Insurance and economic policy uncertainty. Research in International Business and Finance,54(June 2019), 101253. doi:10.1016/j.ribaf.2020.101253
  • Bartos, J. (2015). Does Bitcoin follow the hypothesis of efficient market? International Journal of Economic Sciences, IV(2), 10–23. doi:10.20472/ES.2015.4.2.002
  • Brière, M., Oosterlinck, K. and Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with bitcoin. Journal of Asset Management, 16(6), 365–373. doi:10.1057/jam.2015.5
  • Demir, E., Gozgor, G., Lau, C. K. M. and Vigne, S. A. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters, 26(January), 145–149. doi:10.1016/j.frl.2018.01.005
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1072. doi:10.2307/1912517
  • Granger, C. W. J. and Yoon, G. (2002). Hidden Cointegration. SSRN Electronic Journal. Elsevier BV. doi:10.2139/ssrn.313831
  • Grinberg, R. (2012). Bitcoin: An Innovative Alternative Digital Currency. Hastings Science & Technology Law Journal, 4(159). https://heinonline.org/HOL/Page handle=hein.journals/hascietlj4&id=163&div=&collection= from retrieved.
  • Güney, P. Ö. (2020). Ekonomik Politika Belirsizliği ve Döviz Kuru Oynaklığı. Bankacılar Dergisi, (114).
  • https://www.tbb.org.tr/Content/Upload/dergiler/dosya/89/tbb_114.pdf#page=5 from retrieved.
  • Gupta, R., Lau, C. K. M., Nel, J. A. and Sheng, X. (2020). Monetary policy uncertainty spillovers in time and frequency domains. Journal of Economic Structures, 9(1), 41. doi:10.1186/s40008-020-00219-z
  • Hofstede, G. (1983). Culture’s Consequences. Organization Studies, 4(4), 390–391. doi:10.1177/017084068300400409
  • Husted, L., Rogers, J. and Sun, B. (2017). Monetary Policy Uncertainty. International Finance Discussion Paper, 2017(1215), 1–56. doi:10.17016/IFDP.2017.1215 https://www.policyuncertainty.com/
  • https://tr.investing.com/ (erişim: 04.01.2021)
  • Kristoufek, L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports, 3(1), 1–7. doi:10.1038/srep03415
  • Lee, J. and Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4), 1082–1089. doi:10.1162/003465303772815961
  • Lee, J. and Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break. Appalachian State University Working Papers, 4(17), 1–15.
  • Ng, S. and Perron, P. (2001). LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power. Econometrica, 69(6), 1519–1554. doi:10.1111/1468-0262.00256
  • Nguyen, T. V. H., Nguyen, B. T., Nguyen, K. S. and Pham, H. (2019). Asymmetric monetary policy effects on cryptocurrency markets. Research in International Business and Finance, 48, 335–339. doi:10.1016/j.ribaf.2019.01.011
  • Oğuz, O. (2020). Borsa Endeks Getirisinin Yatırım Fonları Portföyündeki Pay Senedi Oranına Etkisi: Nedensellik Analizi. Politics, Humanities & Social Sciences, 3(1), 24–35. https://dergipark.org.tr/en/pub/ijephss/643776 from retrieved.
  • Ongan, S. and Gocer, I. (2021). Monetary policy uncertainties and demand for money for Japan: Nonlinear ARDL approach. Journal of the Asia Pacific Economy, 26(1), 1–12. doi:10.1080/13547860.2019.1703880
  • Phillips, P. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. doi:10.1093/biomet/75.2.335
  • Shaikh, I. (2020). Policy uncertainty and Bitcoin returns. Borsa Istanbul Review, 20(3), 257–268. doi:10.1016/j.bir.2020.02.003
  • Vidal-Tomás, D. and Ibañez, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259–265. doi:10.1016/j.frl.2018.03.013
  • Wang, G.-J., Xie, C., Wen, D. and Zhao, L. (2019). When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin. Finance Research Letters, 31, 489–497. doi:10.1016/j.frl.2018.12.028
  • Yılancı, V. (2009). Yapısal Kırılmalar Altında Türkiye İçin İşsizlik Histerisinin Sınanması. Doğuş Üniversitesi Dergisi, 10(2), 324–335. http://journal.dogus.edu.tr/index.php/duj/article/view/53 from retrieved.
  • Yılancı, V. and Bozoklu, Ş. (2014). Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. Ege Academic Review, 14(2), 211–220.
There are 30 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Samet Gürsoy 0000-0003-1020-7438

Publication Date April 15, 2021
Submission Date February 10, 2021
Published in Issue Year 2021 Volume: 11 Issue: 1

Cite

APA Gürsoy, S. (2021). The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price. Yalova Sosyal Bilimler Dergisi, 11(1), 7-16.
AMA Gürsoy S. The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price. YSBD. April 2021;11(1):7-16.
Chicago Gürsoy, Samet. “The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price”. Yalova Sosyal Bilimler Dergisi 11, no. 1 (April 2021): 7-16.
EndNote Gürsoy S (April 1, 2021) The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price. Yalova Sosyal Bilimler Dergisi 11 1 7–16.
IEEE S. Gürsoy, “The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price”, YSBD, vol. 11, no. 1, pp. 7–16, 2021.
ISNAD Gürsoy, Samet. “The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price”. Yalova Sosyal Bilimler Dergisi 11/1 (April 2021), 7-16.
JAMA Gürsoy S. The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price. YSBD. 2021;11:7–16.
MLA Gürsoy, Samet. “The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price”. Yalova Sosyal Bilimler Dergisi, vol. 11, no. 1, 2021, pp. 7-16.
Vancouver Gürsoy S. The Effect of The Monetary Policy Uncertainty of US and Japan on Bitcoin Price. YSBD. 2021;11(1):7-16.
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