Analysis of the Impact of Macroeconomics on the Cryptocurrency Market and Market Linkage

Kaixun Wu ()
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Kaixun Wu: Business Administration

A chapter in Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024), 2025, pp 517-528 from Springer

Abstract: Abstract Nowadays, the influence mechanism of macroeconomic variables on traditional investment targets has been fully studied, but few scholars have studied the impact of macroeconomic variables on the crypto market. Therefore, this paper uses the daily frequency data from July 31, 2023 to July 26, 2024, and explores the impact of macroeconomic variables (taking the US dollar index DXY as an example) on cryptocurrencies (taking BTC and ETH as examples) and the dynamic relationship between the prices of BTC and ETH through the establishment of a vector autoregressive (VAR) model. The results show that the impact of Bitcoin price on Ethereum price has a negative impact on the price of Ethereum during the bull and bear junction period of the crypto market, which covers the key time node of the BTC halving and the Fed continues to raise interest rates. In addition, the study also found that the U.S. dollar index has no significant impact on the volatility of cryptocurrency prices. These findings are crucial for investors and policymakers seeking to understand the interconnectedness of financial markets.

Keywords: BTC; ETH; DXY; VAR model; Cryptocurrency (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-652-9_54

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DOI: 10.2991/978-94-6463-652-9_54

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