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

Karataş, Emin; Karataş, Ayyüce Memiş

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

Emin Karataş () and Ayyüce Memiş Karataş ()
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Emin Karataş: Ankara Yildirim Beyazit University, Institute of Social Sciences, Ankara, Türkiye
Ayyüce Memiş Karataş: Niğde Ömer Halisdemir University, Faculty of Economics and Administrative Sciences, Niğde, Türkiye

EKOIST Journal of Econometrics and Statistics, 2023, vol. 0, issue 39, 65-75

Keywords: Causality; Toda Yamamoto Analysis; Exchange Rate; Interest Rate; Bond Yield; VIX (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ekoist:v:0:y:2023:i:39:p:65-75

DOI: 10.26650/ekoist.2023.39.1271842

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