Relationship between cryptocurrencies and West Texas intermediate crude oil returns: Investigation with Granger and Toda Yamamoto causality analyses

Yıl 2025, Cilt: 27 Sayı: 1, 30 - 43

Figen Aldı , İlhan Küçükkaplan , Eyyüp Ensari Şahin

Öz

In this study, the relationship between the first ten cryptocurrency yields and transaction volumes and West Texas Intermediate (WTI) crude oil yields per barrel was tested. Daily data between April 29, 2013 and August 04, 2024 was used for the analysis. Granger and Toda&Yamamoto Causality Analysis were used empirically in the study. According to both analyzes, a negative unidirectional relationship was found between WTI and Bitcoin (BTC). In accordance with Granger causality analysis, a negative bidirectional causality relationship was found between WTI and Ethereum (ETH), and according to Toda Yamamoto causality analysis, a negative bidirectional causality relationship was found between WTI and Filecoin (FIL) yield. The findings revealed the effects of fluctuations in energy prices on global financial stability. In order to minimize the environmental impacts of blockchain technology with sustainability goals in energy markets, international regulations should be developed and holistic policies should be established. These recommendations provide a strategic roadmap for making cryptocurrencies more resilient to volatility originating from energy markets.

Anahtar Kelimeler

Cyrptocurrency, WTI Crude Oil, Granger Casuality, Toda Yamamoto Casuality

Kripto paralar ve Batı Teksas ham petrol getirisi ilişkisi: Granger ve Toda Yamamoto nedensellik analizleri ile incelenmesi

Öz

Bu çalışmada ortaya ilk çıkarılan on kripto para getiri ve işlem hacimleri ile birlikte varil başına Batı Teksas (WTI) ham petrol getirileri arasındaki ilişki test edilmiştir. Analiz için 29 Nisan 2013 – 04 Ağustos 2024 arası günlük veriler kullanılmıştır. Çalışmada ampirik olarak Granger ve Toda Yamamoto Nedensellik Analizi' nden yararlanılmıştır. Her iki analize göre WTI ile Bitcoin (BTC) arasında negatif tek yönlü ilişkiye rastlanmıştır. Granger nedensellik analizine göre WTI ile Ethereum (ETH) arasında, Toda Yamamoto nedensellik analizine göre ise WTI ile Filecoin (FIL) getirisi arasında negatif çift yönlü bir nedensellik ilişkisi olduğu sonucuna ulaşılmıştır. Elde edilen bulgular enerji fiyatlarında yaşanan dalgalanmaların küresel finansal istikrara etkilerini ortaya koymuştur. Enerji piyasalarındaki sürdürülebilirlik hedefleri ile blok zinciri teknolojisinin çevresel etkilerini en aza indirgemek için uluslararası regülasyonların geliştirilmesi ve bütüncül politikalar oluşturulması gerekmektedir. Bu öneriler kripto para birimlerinin, enerji piyasalarından kaynaklanan volatiliteye karşı daha dayanıklı hale getirilmesi için stratejik bir yol haritası sunmaktadır.

Anahtar Kelimeler

Kripto Para, WTI Ham Petrol, Granger Nedensellik, Toda Yamamoto Nedensellik

Kaynakça

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