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

Year 2023, Issue: 39, 65 - 75, 27.12.2023
https://doi.org/10.26650/ekoist.2023.39.1271842

Abstract

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 bitcoin’s price.

References

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  • Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regressions. Biometrica, 7(2), 345-346. http://dx.doi.org/10.1093/biomet/75.2.335 google scholar
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oilprice, precious metal prices, andexchange rate. Energy Economics 32, 351-362. google scholar
  • Stanley, M. (2013), Global EM Investor Fragile Five, http://graphics8.nytimes.com/packages/pdf/business/ MorganStanleyFragileFive.pdf Accessed 1 May 2021. google scholar
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  • Şen, H., Kaya, A., Kaptan, S., & Cömert, M. (2020). Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships. The Journal of International Trade & Economic Development, 29(3), 289-318. google scholar
  • Taskinsoy, J. (2019). Bitcoin and Turkey: A good match or a perfect storm?. Available at SSRN 3477849. google scholar
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. google scholar
  • Ucan, O., Akin, C. S., & Aytun, C. (2014). Exchange Rate Determination in High Fragile Emerging Countries. European Scientific Journal. google scholar
  • Yildirim, Z. (2016). Global financial conditions and asset markets: Evidence from fragile emerging economies. Economic Modelling, 57, 208-220. google scholar
  • Zivot, E., & Andrews, D. (1992). Further evidence on the great crash, the oil-price shock and the unit-root hypothesis. Journal of Business Economic Statistics,10(3), 251-270. http://dx.doi.org/10.1080/07350015.1992.10509904 google scholar
Year 2023, Issue: 39, 65 - 75, 27.12.2023
https://doi.org/10.26650/ekoist.2023.39.1271842

Abstract

References

  • Akin, T., & Isikli, E. (2020). The relationship among sovereign credit risk premium, sovereign bonds and currency rates in fragile three countries. Journal of Business Economics and Finance, 9(3), 262-273. google scholar
  • Akkoc, U., & Civcir, I. (2019). Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. Resources Policy, 62, 231-239. google scholar
  • Al-Khazali, O., Elie, B., & Roubaud, D. (2018). The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin. Economics Bulletin, 38(1), 373-382. google scholar
  • Bahmani-Oskooee, M. (1993). Black market exchange rates versus official exchange rates in testing purchasing power parity: an examination of the Iranianrial. Applied Economics, 25(4), 465-472. google scholar
  • Baur, D.G., Lucey, B.M., 2010. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review 45, 217-229. google scholar
  • Bayraktar, Y., Eğri T., & Yildiz, F. (2016). A causal relationship between oil prices current account deficit, and economic growth: an empirical analysis from fragile five countries. Ecoforum Journal, 5(3). google scholar
  • Bilgehan, T. (2018). Toda-yamamoto causality between E7 countries stock markets. Emc review-casopis za ekonomju, 16(2). google scholar
  • Bouri, E., Molnar, P., Azzi, G., Roubaud, D., Hagfors, L., (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters 20, 192-198. google scholar
  • Chiang, T.C., Li, J., Yang, S.Y., 2015. Dynamic stock-bond return correlations and financial market uncertainty Review of Quantitative Finance and Accounting, 45, 59- 88 google scholar
  • Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(1), 1057-1072. google scholar
  • l.)ıırmıis/ S. (2016). Seytan üçgeni; faiz, döviz kuru ve enflasyon iliskisi: Türkiye için ampirik bir analiz. TURAN-SAM, 8(23), 427-434. google scholar
  • Ghosh, S., & Kanjilal, K. (2009). Impact of oil price shocks on macro-economy: Evidence from an oil importing developing country. Journal of Policy Modelling. google scholar
  • Ghosh, Ipak-Levin, Eric J,-MacMillan, Peter-Wright, Robert E (2004), “Gold as an Inflation Hedge?” Studies in Economics and Finance, Vol.22, pp.1-25. google scholar
  • Giles, D. (2011). Testing for Granger causality. Retrieved from https://davegiles.blogspot.com/2011/04/ testing-for-granger-causality.html Accessed 12 May 2021. google scholar
  • Gulec, O. M., Cevik, E., & Bahadır, N. (2018). Investigation of the association between Bitcoin and financial indicators. Journal of the Faculty of Economics and Administrative Sciences, 7(2), 18-37. google scholar
  • Korkmaz, Ö. (2018). The relationship between Bitcoin, gold and foreign exchange returns: The case of Turkey. Turkish Economic Review, 5(4), 359-374. google scholar
  • Koçoğlu, Ş., Çevik, Y. E., & Tanrıöven, C. (2016). Efficiency, liquidity and volatility of Bitcoin markets. Journal of Business Research, 8(2), 77-97. google scholar
  • Korap, L. (2008). Exchange rate determination of TL/US $: a co-integration approach. Ekonometri ve İstatistik e-Dergisi, (7), 24-50. google scholar
  • Mensia, W., Tiwarid, S. H. A. K., & Al-Yahyaeee, K. H. (2019). Is there a relationship between MENA stock markets, oil, Bitcoin, gold, and VIX? A Wavelet based dependence-switching copula approach. google scholar
  • Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regressions. Biometrica, 7(2), 345-346. http://dx.doi.org/10.1093/biomet/75.2.335 google scholar
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oilprice, precious metal prices, andexchange rate. Energy Economics 32, 351-362. google scholar
  • Stanley, M. (2013), Global EM Investor Fragile Five, http://graphics8.nytimes.com/packages/pdf/business/ MorganStanleyFragileFive.pdf Accessed 1 May 2021. google scholar
  • Stensâs, A., Nygaard, M. F., Kyaw, K., & Treepongkaruna, S. (2019). Can Bitcoin be a diversifier, hedge or safe haven tool?. Cogent Economics & Finance, 7(1), 1593072. google scholar
  • Şen, H., Kaya, A., Kaptan, S., & Cömert, M. (2020). Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships. The Journal of International Trade & Economic Development, 29(3), 289-318. google scholar
  • Taskinsoy, J. (2019). Bitcoin and Turkey: A good match or a perfect storm?. Available at SSRN 3477849. google scholar
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. google scholar
  • Ucan, O., Akin, C. S., & Aytun, C. (2014). Exchange Rate Determination in High Fragile Emerging Countries. European Scientific Journal. google scholar
  • Yildirim, Z. (2016). Global financial conditions and asset markets: Evidence from fragile emerging economies. Economic Modelling, 57, 208-220. google scholar
  • Zivot, E., & Andrews, D. (1992). Further evidence on the great crash, the oil-price shock and the unit-root hypothesis. Journal of Business Economic Statistics,10(3), 251-270. http://dx.doi.org/10.1080/07350015.1992.10509904 google scholar
There are 29 citations in total.

Details

Primary Language English
Subjects Econometrics (Other)
Journal Section RESEARCH ARTICLE
Authors

Emin Karataş 0000-0001-7715-6001

Ayyüce Memiş Karataş 0000-0002-3429-5666

Publication Date December 27, 2023
Submission Date March 27, 2023
Published in Issue Year 2023 Issue: 39

Cite

APA Karataş, E., & Memiş Karataş, A. (2023). A Causal Relationship Among the Financial Indicators of Bitcoin, Gold, and VIX: An Empirical Analysis of the Fragile Five. EKOIST Journal of Econometrics and Statistics(39), 65-75. https://doi.org/10.26650/ekoist.2023.39.1271842