Macroeconomic determinants of cryptocurrency volatility: time series analysis

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dc.authorid0000-0002-3893-4015
dc.authorid0000-0002-7981-3121
dc.authorid0000-0002-4442-7087
dc.contributor.authorTeker, Dileken_US
dc.contributor.authorTeker, Suaten_US
dc.contributor.authorÖzyeşil, Mustafaen_US
dc.date.accessioned2025-12-22T12:03:25Z
dc.date.available2025-12-22T12:03:25Z
dc.date.issued2020-03
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractCryptocurrency is a recent and popular topic that attracts the interest of investors and fund managers. Beyond the market discipline, researchers question the interaction between cryptocurrencies and macroeconomic variables. This study focuses on how the changes in gold and oil prices affect the daily price movements of various cryptocurrencies. The daily database used in this study includes the prices of the cryptocurrencies such as Bitcoin, Tether, Ethereum, Litecon and EOS for the period of August 1, 2017 and April 3, 2019. Initially, the stationarity of the time series is tested by Ng and Perron (2001) method. The existence of the cointegration relationship among the series is tested by Johansen (1988) technique. The presence of causality relationships among the series is investigated with the Dolado and Lütkepohl (1996) causality test. The empirical results support that there exists a cointegration relationship only in between Tether and gold and oil prices.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationTeker, D., Teker, S. & Özyeşil, M. (2020). Macroeconomic determinants of cryptocurrency volatility: time series analysis. Journal of Business Economic Policy, 7(1), 65-77.en_US
dc.identifier.endpage77
dc.identifier.issn2375-0766
dc.identifier.issn2375-0774
dc.identifier.issue1
dc.identifier.startpage65
dc.identifier.urihttps://hdl.handle.net/11729/6852
dc.identifier.urihttps://jbep.thebrpi.org/journal/index/2434
dc.identifier.volume7
dc.institutionauthorTeker, Dileken_US
dc.institutionauthorTeker, Suaten_US
dc.institutionauthorid0000-0002-3893-4015
dc.institutionauthorid0000-0002-7981-3121
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisher's Versionen_US
dc.publisherThe Brooklyn Research and Publishing Instituteen_US
dc.relation.ispartofJournal of Business Economic Policyen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCryptocurrenciesen_US
dc.subjectStationarityen_US
dc.subjectCointegrationen_US
dc.subjectVector error correction modelen_US
dc.subjectFiat currenciesen_US
dc.titleMacroeconomic determinants of cryptocurrency volatility: time series analysisen_US
dc.typeArticleen_US
dspace.entity.typePublicationen_US

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