Öz
Purpose - This study conducts an analysis to reveal the interaction between Bitcoin and Exchange Rates to find out whether Bitcoin is becoming a substitution for the exchange rates.
Methodology - To investigate the mutually interaction between the exchange rates and the Bitcoin, the interaction (relationship) between daily closing price of both exchange rates and Bitcoin was analyzed through the Var model. Thus, it was tried to show the sensitivity of the values of Bitcoin to the changes occured in the exchange rates.
Findings - Based on Variance Decomposition analysis, BITCOIN and Euro can be considered as largely external variables and their prices are not significantly affected by USD. An interesting result in this study is that the USD exchange rate was found to be significantly sensitive to the Euro.
Conclusion - Findings obtained from analysis show that Bitcoin and Excange Rates have not become an alternative tools for each other yet.
Anahtar Kelimeler
Cryptocurrencies bitcoin variance decomposition Var model unit root test
Kaynakça
- Arltova, M., Fedorová, D. (2016). Selection of unit root test on the basis of length of the time series and value of AR(1) parameter. Statistika, 96(3), 47-64.
- Böhme, R., Christin, N., Edelman, B., Moore T. (2015). Bitcoin: Economics, technology, and governance. Journal of Economic Perspectives, 29(2),213-238.
- Cochrane, J. H. (1991). A critique of the application of unit root tests. Journal of Economic Dynamics and Control, 15, 275-284.
- Çarkacıoğlu, A. (2016). Kripto para – bitcoin. Research Report, Capital Market Board, Ankara.
- Dikmen, N. (2012). Ekonometri temel kavramlar ve uygulamalar. 2. Baskı, Dora Yayınevi, Bursa.
- Dwyer, G. P. (2015). The economics of bitcoin and similar private digital currencies. Journal of Financial Stability, 17(C), 81-91.
- Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37(3),424-438.
- Rossi, E. (2011). Impulse response functions. http://economia.unipv.it/pagp/pagine_ personali /erossi/dottorato_svar.pdf, [Access Date: 02.03.2019].
- Sims, C. A. (1980). Macroeconomics and reality. Econometrica. 48, 1-48.
- Tarı, R. (2012). Ekonometri. 8. Baskı. Kocaeli: Umuttepe Yayınları.
- Trenca, I., Mutu, S. (2011). Advantages and limitations of VAR models used in managing market risk in banks. Finance – Challenges of the Future, 13, 32-43.
- Triacca, U. (2017). Vector autoregressive models. http://www.phdeconomics.sssup.it/ documents/Lesson17.pdf, [Access Date: 02.03.2019]
Öz
Kaynakça
- Arltova, M., Fedorová, D. (2016). Selection of unit root test on the basis of length of the time series and value of AR(1) parameter. Statistika, 96(3), 47-64.
- Böhme, R., Christin, N., Edelman, B., Moore T. (2015). Bitcoin: Economics, technology, and governance. Journal of Economic Perspectives, 29(2),213-238.
- Cochrane, J. H. (1991). A critique of the application of unit root tests. Journal of Economic Dynamics and Control, 15, 275-284.
- Çarkacıoğlu, A. (2016). Kripto para – bitcoin. Research Report, Capital Market Board, Ankara.
- Dikmen, N. (2012). Ekonometri temel kavramlar ve uygulamalar. 2. Baskı, Dora Yayınevi, Bursa.
- Dwyer, G. P. (2015). The economics of bitcoin and similar private digital currencies. Journal of Financial Stability, 17(C), 81-91.
- Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37(3),424-438.
- Rossi, E. (2011). Impulse response functions. http://economia.unipv.it/pagp/pagine_ personali /erossi/dottorato_svar.pdf, [Access Date: 02.03.2019].
- Sims, C. A. (1980). Macroeconomics and reality. Econometrica. 48, 1-48.
- Tarı, R. (2012). Ekonometri. 8. Baskı. Kocaeli: Umuttepe Yayınları.
- Trenca, I., Mutu, S. (2011). Advantages and limitations of VAR models used in managing market risk in banks. Finance – Challenges of the Future, 13, 32-43.
- Triacca, U. (2017). Vector autoregressive models. http://www.phdeconomics.sssup.it/ documents/Lesson17.pdf, [Access Date: 02.03.2019]
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | Ekonomi, Finans, İşletme |
| Bölüm | Articles |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Mart 2019 |
| Yayımlandığı Sayı | Yıl 2019 Cilt: 6 Sayı: 1 |
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