Impact of Macroeconomics Factors on Cryptocurrency Pricing: Evidence from Bitcoin and Ethereum Markets

Berna Aydoğan, Omer Cayirli () and Gülin Vardar
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Berna Aydoğan: Izmir University of Economics
Omer Cayirli: Vietnamese German University
Gülin Vardar: Izmir University of Economics

Computational Economics, 2025, vol. 66, issue 4, No 15, 3166 pages

Abstract: Abstract This study empirically explores the impact of a set of macroeconomic factors on the pricing behavior of cryptocurrencies in a nonlinear setting. Employing the lag-augmented vector autoregressive framework (LA-VAR) and threshold regressions with both static and moving thresholds, the results indicate that risk appetite and market liquidity are the two most reliable drivers of cryptocurrency prices. Generally, the findings show that changes in expectations for future macroeconomic conditions induce changes in the opposite direction. Moreover, there is a relatively unstable relationship between macroeconomic factors and Bitcoin and Ethereum. Despite episodes of continuous and significant causal relationships, we observe noticeable shifts in significance. These observations, which are supported by the threshold regression analysis, also provide crucial evidence for conditional dynamics.

Keywords: Cryptocurrency markets; Bitcoin; Ethereum; Nonlinear dynamics; LA-VAR (search for similar items in EconPapers)
JEL-codes: G00 G12 G15 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10614-024-10804-0

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