Decrypting the Dynamic Dirham-Bitcoin Link: A VAR Model Analysis

Mustapha Khalfouni (), Lamarti Med Sefian () and Oumayma Zerrouk
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Mustapha Khalfouni: Abdelmalek Essaadi University
Lamarti Med Sefian: Abdelmalek Essaadi University
Oumayma Zerrouk: Abdelmalek Essaadi University

A chapter in Information Systems and Technological Advances for Sustainable Development, 2024, pp 292-300 from Springer

Abstract: Abstract In the context of the new monetary technology, this study examines the dynamic interactions between the returns of Bitcoin and the Moroccan Dirham (MAD) since 2018. Using the VAR (Vector Auto Regression) model, we evaluate the dynamics of these two financial assets and their reactions to economic shocks as well as the decomposition of the variance of prediction errors. The results reveal significant volatility of Bitcoin, characterized by dramatic highs and lows, while the Moroccan Dirham shows near stability with notable fluctuations. The VAR analysis highlights significant relationships between the returns of Bitcoin and the Moroccan Dirham, with significant effects of lagged BTC and MAD returns on MAD returns, while BTC returns are not affected by either MAD or BTC itself. The unit shocks applied to the returns reveal immediate and short-term repercussions on the variables studied but are not significant. These results provide valuable insights into the interactions between Bitcoin and the Moroccan Dirham in financial markets.

Keywords: Bitcoin; Moroccan Dirham (MAD); VAR (Vector Auto Regression) model; Volatility (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnichp:978-3-031-75329-9_32

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DOI: 10.1007/978-3-031-75329-9_32

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