KÜRESEL EKONOMİK POLİTİKA BELİRSİZLİĞİ VE KRİPTO PARALAR: BOOTSTRAP PANEL NEDENSELLİK ANALİZİ

Öz

Bu çalışmada ekonomik politika belirsizliğinin (EPU) kripto paralar üzerindeki etkisi panel veri yöntemleriyle araştırılmaktadır. Bu amaç doğrultusunda öncelikle küresel ekonomik politika belirsizliği endeksi ve en büyük dört kripto paranın aylık verileri elde edilmiştir. Çalışmada kullanılan kripto paralar; Bitcoin (BTC), Ethereum (ETH), BinanceCoin (BNB) ve Ripple (XRP)’dir. 2018:01-2020:12 dönemine ait verilerin kullanıldığı çalışmada, yatay kesit bağımlılığı ve homojenlik testleri gerçekleştirilmiştir. Daha sonra Kónya (2006) tarafından önerilen bootstrap panel nedensellik testi uygulanmıştır. Dört kripto paradan ilk sırada yer alan Bitcoin ile EPU arasında çift yönlü nedensellik ilişkisi bulunurken, son sırada bulunan XRP için herhangi bir nedensellik ilişkisine rastlanamamıştır. İkinci ve üçüncü sıradaki kripto paralarda ise EPU’dan bu paralara doğru tek yönlü nedensellik ilişkisi olduğu görülmüştür. Çalışmadan elde edilen bulgular, ekonomik politika belirsizliğinin kripto paraların değerleri üzerinde etkisi olabileceğini göstermektedir.

Anahtar Kelimeler

• Kripto Para
• Ekonomik Politika Belirsizliği
• Bootstrap Panel Nedensellik Testi

GLOBAL ECONOMIC POLICY UNCERTAINTY & CRYPTOCURRENCIES: BOOTSTRAP PANEL CAUSALITY ANALYSIS

Öz

In this study, the effect of economic policy uncertainty (EPU) on cryptocurrencies is investigated by panel data methods. For this purpose, firstly, monthly data of the four largest cryptocurrencies and the global economic policy uncertainty (EPU) index were obtained. The cryptocurrencies used in the study are Bitcoin (BTC), Ethereum (ETH), BinanceCoin (BNB) and Ripple (XRP). Cross section dependency and homogeneity tests were carried out in this study in which data for the period 2018: 01-2020: 12 were used. Later, bootstrap panel causality test which proposed by Kónya (2006) was applied. EPU and Bitcoin, which ranked first out of four cryptocurrencies, had a two-way causality relationship, while no causality relationship was found for the last-place XRP. In the second and third ranked crypto currencies, it has been observed that there is a one-way causality relationship from EPU to these coins. Findings from the study show that economic policy uncertainty can have an impact on the value of cryptocurrencies.

Anahtar Kelimeler

• Cryptocurrency
• Economic Policy Uncertainty
• Bootstrap Panel Causality Test

Kaynakça

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