The Effect of Bitcoin Prices on US Dollar Index Price

I. Antoniadis (), N. Sariannidis () and S. Kontsas ()
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I. Antoniadis: Western Macedonia University of Applied Sciences
N. Sariannidis: Western Macedonia University of Applied Sciences
S. Kontsas: Western Macedonia University of Applied Sciences

Chapter Chapter 34 in Advances in Time Series Data Methods in Applied Economic Research, 2018, pp 511-521 from Springer

Abstract: Abstract The purpose of this paper is to explore the effects of Bitcoin (crude oil) and financial (equity, gold and stock prices) markets on the US dollar index. A GJR-GARCH model is used to test these relationships for the period August 2010 to September 2016 using monthly data. The results suggest that bitcoin gold and stock prices (DSJI) affect negatively and statistically significantly the returns of the US dollar index. There is also some evidence that there is asymmetry in the bitcoin market and its relation with the US dollar index and that the latter could be considered as a possible safe haven for gold, stock and bitcoin.

Keywords: Cryptocurrency; Bitcoin; DSJI; Gold; US dollar index; GJR-GARCH (search for similar items in EconPapers)
JEL-codes: F39 G10 G11 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-02194-8_34

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DOI: 10.1007/978-3-030-02194-8_34

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