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- Title
Bitcoin ile Önemli Döviz Kurları Arasında Nedensellik İlişkisi.
- Authors
ÇEVİK, Emre; TERZİOĞLU, Hande Çalışkan; ÇEVİK, Emrah İsmail
- Abstract
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 causalityin- 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.
- Subjects
FOREIGN exchange rates; POUND sterling; RENMINBI; JAPANESE yen; CANADIAN dollar
- Publication
Igdir University Journal of Social Sciences / Iğdır Üniversitesi Sosyal Bilimler Dergisi, 2021, p108
- ISSN
2147-5717
- Publication type
Article
- DOI
10.54600/igdirsosbilder.991733