A Causal Relationship Among the Financial Indicators of Bitcoin, Gold, and VIX: An Empirical Analysis of the Fragile Five

Emin Karataş; Ayyüce Memiş Karataş

Makale detayları

A Causal Relationship Among the Financial Indicators of Bitcoin, Gold, and VIX: An Empirical Analysis of the Fragile Five

Yazarlar:

Emin Karataş | Ayyüce Memiş Karataş

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 39, pp.65-75

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001311539

pISSN:

2651-396X

Anahtar kelimeler:

Özet:

 This research discusses the causal relationship among the exchange rates, 10-year bond yields, and Central Bank policy rates with regard to the countries known as the Fragile Five F5 by comparing them to global indicators such as gold, Bitcoin price, and the Volatility Index VIX. The study takes into consideration the bond yields, exchange rates, and interest rates of Türkiye, India, Indonesia, South Africa and Brazil in terms of their causal relationship with one another. The study also identifies some causal relationships among gold, bitcoin, and VIX with each other as global indicators by using the Toda Yamamoto approach to the Granger causality test. This study has arrived at the conclusion that a causal relationship exists between exchange rates and interest rates for Türkiye, Indonesia, and South Africa but not for Brazil or India. VIX is the most significant variable, as it is affected by seven different variables, including policy rates and different exchange rates. In addition, none of the variables are seen to Granger cause bitcoins price.

 This research discusses the causal relationship among the exchange rates, 10-year bond yields, and Central Bank policy rates with regard to the countries known as the Fragile Five F5 by comparing them to global indicators such as gold, Bitcoin price, and the Volatility Index VIX. The study takes into consideration the bond yields, exchange rates, and interest rates of Türkiye, India, Indonesia, South Africa and Brazil in terms of their causal relationship with one another. The study also identifies some causal relationships among gold, bitcoin, and VIX with each other as global indicators by using the Toda Yamamoto approach to the Granger causality test. This study has arrived at the conclusion that a causal relationship exists between exchange rates and interest rates for Türkiye, Indonesia, and South Africa but not for Brazil or India. VIX is the most significant variable, as it is affected by seven different variables, including policy rates and different exchange rates. In addition, none of the variables are seen to Granger cause bitcoins price.

 This research discusses the causal relationship among the exchange rates, 10-year bond yields, and Central Bank policy rates with regard to the countries known as the Fragile Five F5 by comparing them to global indicators such as gold, Bitcoin price, and the Volatility Index VIX. The study takes into consideration the bond yields, exchange rates, and interest rates of Türkiye, India, Indonesia, South Africa and Brazil in terms of their causal relationship with one another. The study also identifies some causal relationships among gold, bitcoin, and VIX with each other as global indicators by using the Toda Yamamoto approach to the Granger causality test. This study has arrived at the conclusion that a causal relationship exists between exchange rates and interest rates for Türkiye, Indonesia, and South Africa but not for Brazil or India. VIX is the most significant variable, as it is affected by seven different variables, including policy rates and different exchange rates. In addition, none of the variables are seen to Granger cause bitcoins price.

 This research discusses the causal relationship among the exchange rates, 10-year bond yields, and Central Bank policy rates with regard to the countries known as the Fragile Five F5 by comparing them to global indicators such as gold, Bitcoin price, and the Volatility Index VIX. The study takes into consideration the bond yields, exchange rates, and interest rates of Türkiye, India, Indonesia, South Africa and Brazil in terms of their causal relationship with one another. The study also identifies some causal relationships among gold, bitcoin, and VIX with each other as global indicators by using the Toda Yamamoto approach to the Granger causality test. This study has arrived at the conclusion that a causal relationship exists between exchange rates and interest rates for Türkiye, Indonesia, and South Africa but not for Brazil or India. VIX is the most significant variable, as it is affected by seven different variables, including policy rates and different exchange rates. In addition, none of the variables are seen to Granger cause bitcoins price.

Makale detayları

A Causal Relationship Among the Financial Indicators of Bitcoin, Gold, and VIX: An Empirical Analysis of the Fragile Five

Yazarlar:

Emin Karataş | Ayyüce Memiş Karataş

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 39, pp.65-75

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001311539

pISSN:

2651-396X

Causality

Toda Yamamoto Analysis

Exchange Rate

Interest Rate

Bond Yield

VIX

Sayı

Makale detayları

A Causal Relationship Among the Financial Indicators of Bitcoin, Gold, and VIX: An Empirical Analysis of the Fragile Five

Yazarlar: Emin Karataş | Ayyüce Memiş Karataş

Yayıncı: Istanbul University

Ana Başlıklar: Ekonometri (Diğer)

Dergi: EKOIST Journal of Econometrics and Statistics Issue 39, pp.65-75

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001311539

pISSN: 2651-396X

Causality

Toda Yamamoto Analysis

Exchange Rate

Interest Rate

Bond Yield

VIX

Sayı

Yazarlar:

Emin Karataş | Ayyüce Memiş Karataş

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 39, pp.65-75

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001311539

pISSN:

2651-396X