BİTCOİN İLE ÖNEMLİ DÖVİZ KURLARI ARASINDA NEDENSELLİK İLİŞKİSİ

Öz

Bu çalışmanın amacı, Bitcoin ile Euro/Dolar, İngiliz Sterlini/Dolar, Kanada Doları/Dolar, Japon Yeni/Dolar ve Çin Yuanı/Dolar gibi önemli döviz kurları arasındaki dinamik ilişkiyi incelemektir. Bu bağlamda, Bitcoin ve döviz kurları arasında ortalamada ve volatilitede yayılım etkisinin varlığını incelemek için Hong (2001) tarafından önerilen ortalamada ve varyansta nedensellik testi kullanılmıştır. Ayrıca, Bitcoin ve döviz kurları arasındaki kuyruk bağımlılığının varlığını araştırmak için Hong vd. (2009) tarafından önerilen risk durumlarında nedensellik testi kullanılmıştır. 19 Ağustos 2011 ile 6 Ağustos 2021 tarihleri arasında günlük verileri kullanarak, Euro, Pound ve Kanada Dolar’ından Bitcoin’e yönelik tek yönlü ortalamada nedensellik ilişkisi tespit edilmiştir. Öte yandan, varyansta nedensellik testi sonuçları, Bitcoin ile Euro ve Pound arasında çift yönlü bir oynaklık yayılım etkisinin olduğunu göstermektedir. Ayrıca, Yuan ve Kanada Dolar'ın Bitcoin'in varyansta Granger nedeni olduğu belirlenmiştir. Risk durumlarındaki nedensellik testi sonuçları, Euro ve Pound’dan Bitcoin’e yönelik nedensellik ilişkisine dair kanıt sunmaktadır. Bununla birlikte Bitcoin’deki beklenmedik kayıplar, Yen’deki beklenmedik kayıpların Granger nedenidir. Genel olarak, ampirik sonuçlar Çin para biriminin Bitcoin ile daha az entegre olduğunu göstermektedir.

Anahtar Kelimeler

• Bitcoin
• Kripto Para
• Döviz Kuru
• Nedensellik

Öz

The aim of this study is to examine the dynamic relationship between Bitcoin and major foreign exchange rates namely Euro, British Pound, Canadian Dollar, Japanese Yen, and Chinese Yuan. In this context, we employ the causality-in-mean and variance test suggested by Hong (2001) to examine the presence of mean and volatility spillover effects between Bitcoin and foreign exchange rates. Also, we use the causality-in-risks test proposed by Hong et al. (2009) to investigate the existence of tail dependence between Bitcoin and foreign exchange rates. By using daily data from August 19, 2011, through August 6, 2021, we find unidirectional Granger causality-in-mean from Euro, Pound, and Dollar to Bitcoin. On the other hand, causality-in-variance test results suggest a bidirectional volatility spillover effect between Bitcoin and Euro and Pound. Also, Yuan and Dollar are found to be Granger cause-in-variance of Bitcoin. Causality-in-risk test results provide evidence in favor of causal link running from Euro and Pound to Bitcoin. In addition, unexpected losses in Bitcoin are the Granger cause of unexpected losses in the Yen. Overall, our empirical analysis results show that the Chinese currency market seems to be less integrated with Bitcoin.

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