Publication: Makroekonomik göstergelerin bitcoin fiyatına etkisinin analizi
Abstract
İlk kripto para birimi olan Bitcoin her ne kadar 2008 yılında hayatımıza girmiş olsa da gerek blokzincir teknolojisiyle gerekse Bitcoin’in hayatımızda yerinin hala netleşmemiş olmasıyla bilinmezliklerini korumaktadır. Blokzincir teknoloji birçok farklı sektörde kullanılırken Bitcoin’in kendisi insanlar tarafından riskli bir yatırım aracı olarak kabul görmüştür. Bu kabulün altında Bitcoin fiyatındaki dönemsel yüksek artışlar yatmaktadır. Bu yükselişleri etkileyen unsurların ne olduğu ve bu unsurların ne derecede etkili olduğu araştırmalara konu olmaktadır. Bu çalışmada Bitcoin fiyatını etkilediğini tahmin edilen bazı makro ekonomik göstergelerle Bitcoin fiyatı arasındaki ilişkinin incelenmesi hedeflenmiştir. Söz konusu makro ekonomik gösterge birinci grupta; Nasdaq 100, Dow Jones, Nikkei 225 ve DAX borsa endeksleri, ikinci grupta; USD/ EUR, JPY/ USD kurları ve altın ons fiyatı, üçüncü grupta; gecelik USD Libor, 10 yıllık ABD tahvil faiz oranı ve VIX endeksi olmak üzere üç gruba ayrılmıştır. Çalışma 01.01.2018-31.12.2022 tarihleri arasındaki dönemi günlük veriler kullanılarak Granger nedensellik testi ve VAR Modeline dayalı varyans ayrıştırması ile gerçekleştirilmiştir. Çalışma sonucunda Bitcoin fiyatının VIX endeksinden ve 10 yıllık ABD tahvil faizlerinden etkilendiği, DAX, Nikkei 225, dışındaki göstergelerin ise Bitcoin fiyatından etkilendiği tespit edilmiştir.
Although Bitcoin, the first cryptocurrency, entered our lives in 2008, it still remains unknown due to the blockchain technology and the fact that Bitcoin's place in our lives is still unclear. While blockchain technology is used in many different sectors, Bitcoin itself has been accepted by people as a risky investment tool. Underlying this acceptance is the periodic high increases in the price of Bitcoin. The factors affecting these increases and the extent to which these factors are effective are the subject of this research. This study was aimed to examine the relationship between Bitcoin price and some macroeconomic indicators that are estimated to affect Bitcoin price. These macroeconomic indicators are divided into three groups: Nasdaq 100, Dow Jones, Nikkei 225 and DAX stock market indices in the first group, USD/ EUR, JPY/ USD exchange rates and gold ounce price in the second group, overnight USD Libor, 10-year US bond interest rate and VIX index in the third group. The study was conducted with Granger causality test and variance decomposition based on VAR Model using daily data for the period between 01.01.2018-31.12.2022. As a result of the study, it was determined that Bitcoin price is affected by the VIX index and 10-year US bond yields, while other indicators except DAX and Nikkei 225 are affected by Bitcoin price.
Although Bitcoin, the first cryptocurrency, entered our lives in 2008, it still remains unknown due to the blockchain technology and the fact that Bitcoin's place in our lives is still unclear. While blockchain technology is used in many different sectors, Bitcoin itself has been accepted by people as a risky investment tool. Underlying this acceptance is the periodic high increases in the price of Bitcoin. The factors affecting these increases and the extent to which these factors are effective are the subject of this research. This study was aimed to examine the relationship between Bitcoin price and some macroeconomic indicators that are estimated to affect Bitcoin price. These macroeconomic indicators are divided into three groups: Nasdaq 100, Dow Jones, Nikkei 225 and DAX stock market indices in the first group, USD/ EUR, JPY/ USD exchange rates and gold ounce price in the second group, overnight USD Libor, 10-year US bond interest rate and VIX index in the third group. The study was conducted with Granger causality test and variance decomposition based on VAR Model using daily data for the period between 01.01.2018-31.12.2022. As a result of the study, it was determined that Bitcoin price is affected by the VIX index and 10-year US bond yields, while other indicators except DAX and Nikkei 225 are affected by Bitcoin price.