KRİPTO PARA BİTCOİN ve DÖVİZ KURLARI İLİŞKİSİ: YAPISAL KIRILMALI EŞBÜTÜNLEŞME ve NEDENSELLİK ANALİZİ
CRYPTO MONEY BITCOIN AND EXCHANGE RATE RELATIONSHIP: AN ANALYSIS OF COINTEGRATION AND CAUSALITY WITH STRUCTURAL BREAK
Author(s): Emre Esat TopaloğluSubject(s): Financial Markets, ICT Information and Communications Technologies
Published by: Celal Bayar Üniversitesi Sosyal Bilimler Enstitüsü
Keywords: Crypto Money; Bitcoin; Exchange Rate; Structural Break; Time Series Analysis;
Summary/Abstract: Bitcoin, which is a virtual and crypto money, is a currency that includes digital transactions, technically expressed as block chains, and is not included in the central monetary system. The purpose of the current study is to investigate the relationship between crypto currency Bitcoin and exchange rates. The relationship between the exchange rates of the Euro, Japanese Yen, British Sterling, Australian Dollar, Canadian Dollar, Swiss Franc, Yuan Renminbi and Swedish Kron based on the daily exchange rate values for the period of 3.02.2012-04.10.2017 is investigated through Gregory and Hansen cointegration with structural breaks and Granger causality analysis. As a result of the analysis, structural breaks are seen in the BTC/USD exchange rate in April and December, 2013. Moreover, findings reveal a long-term cointegration relationship between the time series for exchange rates. One-way positive causality relationship is observed between the CNY/USD and the BTC/USD exchange rates.
Journal: Celal Bayar Üniversitesi Sosyal Bilimler Dergisi
- Issue Year: 17/2019
- Issue No: 02
- Page Range: 367-382
- Page Count: 16
- Language: Turkish