Determinants of Bitcoin Price: Evidence from Asymmetrical Analysis

Anoop S Kumar and Taufeeq Ajaz ()
Additional contact information
Taufeeq Ajaz: Indian Institute of Foreign Trade

A chapter in Studies in International Economics and Finance, 2022, pp 557-569 from Springer

Abstract: Abstract Using technical determinants (mining difficulty), macroeconomic and financial determinants (FED rate, S&P 500 and Altcoins) as well as the investor attention (Google Search), we model their possible short-run and long-run asymmetric impacts on the Bitcoin prices. Monthly data ranging from May 2013 to Dec 2019 is employed for the modelling purposes. In order to capture the possible asymmetry, nonlinear auto-regressive distributed lag model (NARDL) is employed for the purpose of estimation. The results reveal that FED rate and mining difficulty has a long-run positive impact on Bitcoin prices, whereas Altcoins are found to have long-run negative impact. Further, short-run negative asymmetry was found for Google Search, S&P 500 and Altcoins. This study conclusively proves that the potential determinants of Bitcoin prices have both long- and short-run asymmetric impact on Bitcoin prices.

Keywords: Bitcoin; Crypto-currencies; Blockchain; Price; NARDL (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-981-16-7062-6_28

Ordering information: This item can be ordered from
http://www.springer.com/9789811670626

DOI: 10.1007/978-981-16-7062-6_28

Access Statistics for this chapter

More chapters in India Studies in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().