Analysis of Relationship Between International Interest Rates and Cryptocurrency Prices: Case for Bitcoin and LIBOR

Serdar Erdogan () and Volkan Dayan ()
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Serdar Erdogan: Uzunkopru School of Applied Sciences Trakya University
Volkan Dayan: Uzunkopru School of Applied Sciences Trakya University

Chapter Chapter 24 in Blockchain Economics and Financial Market Innovation, 2019, pp 487-514 from Springer

Abstract: Abstract In this study, the change in weekly USD LIBOR Rate and USD Bitcoin Price for 2013–2018 were analyzed. LIBOR stands for London Interbank Offered Rate and it is a benchmark rate in which some of the world’s leading banks charge each other for short-term loans. Bitcoin is the most traded currency in the cryptocurrency market. Vector Autoregressive Model (VAR) and Autoregressive Distributed Lag Models (ARDL) were used in this study. Impulse-response functions used and variance decomposition tests were made. Granger Causality Analysis was performed. Pairwise Granger and VAR Granger Wald tests were used for causality analysis. Additionally stationary test was also performed before the analysis. The stationary analysis of the variables will be made with ADF 79 and Perron’s 89 breakpoint unit root tests. According to the results of the study; the variables are stationary at the I(0) level. VAR model was stationary and significant. According to ARDL model; short-term deviations have stabilized in the long run. The Granger causality test was one-way significant.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-030-25275-5_24

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DOI: 10.1007/978-3-030-25275-5_24

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