Öz
Bu çalışmada ekonomik politika belirsizliğinin (EPU) kripto paralar üzerindeki etkisi panel veri yöntemleriyle araştırılmaktadır. Bu amaç doğrultusunda öncelikle küresel ekonomik politika belirsizliği endeksi ve en büyük dört kripto paranın aylık verileri elde edilmiştir. Çalışmada kullanılan kripto paralar; Bitcoin (BTC), Ethereum (ETH), BinanceCoin (BNB) ve Ripple (XRP)’dir. 2018:01-2020:12 dönemine ait verilerin kullanıldığı çalışmada, yatay kesit bağımlılığı ve homojenlik testleri gerçekleştirilmiştir. Daha sonra Kónya (2006) tarafından önerilen bootstrap panel nedensellik testi uygulanmıştır. Dört kripto paradan ilk sırada yer alan Bitcoin ile EPU arasında çift yönlü nedensellik ilişkisi bulunurken, son sırada bulunan XRP için herhangi bir nedensellik ilişkisine rastlanamamıştır. İkinci ve üçüncü sıradaki kripto paralarda ise EPU’dan bu paralara doğru tek yönlü nedensellik ilişkisi olduğu görülmüştür. Çalışmadan elde edilen bulgular, ekonomik politika belirsizliğinin kripto paraların değerleri üzerinde etkisi olabileceğini göstermektedir.
Anahtar Kelimeler
Kripto Para Ekonomik Politika Belirsizliği Bootstrap Panel Nedensellik Testi
Kaynakça
- Altig, D., Baker, S., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., . . . Thwaites, G. (2020). Economic uncertainty before and during the COVID-19 pandemic. Journal of Public Economics, 191, 1-13, https://doi.org/10.1016/j.jpubeco.2020.104274.
- Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. he Quarterly Journal of Economics, 131(4), 1593–1636, Doi: https://doi.org/10.1093/qje/qjw024.
- Blockchain. (2021). Trade Volume: https://www.blockchain.com/charts/trade-volume (Erişim Tarihi: 26/03/2021)
- Breusch, T. S., & Pagan, A. R. (1980). The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1), 239-253, Doi: https://doi.org/10.2307/2297111.
- Demir, E., Gozgor, G., Lau, C. K., & A.Vigne, S. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters, 26, 145-149, Doi: https://doi.org/10.1016/j.frl.2018.01.005.
- Economic Policy Uncertainty. (2021). https://www.policyuncertainty.com/index.html (Erişim Tarihi: 26/03/2021).
- Kang, W., & Ratti, R. A. (2015). Oil Shocks, Policy Uncertainty and Stock Returns in China. Economics of Transition, 23(4), 657-676, Doi: 10.1111/ecot.12062.
- Kónya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978-992, Doi: https://doi.org/10.1016/j.econmod.2006.04.008.
- Kyrıazis, N. A. (2020). The Effects of Gold, Stock Markets and Geopolitical Uncertainty on Bitcoin Prices and Volatility. Global Economy Journal, 20(4), 1-15, Doi: https://doi.org/10.1142/S2194565920500207.
- Li, X., & Wang, C. A. (2017). The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95, 49-60, Doi: https://doi.org/10.1016/j.dss.2016.12.001.
- Okorie, D. I., & Lin, B. (2020). Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy. Energy Economics, 87, 1-10, https://doi.org/10.1016/j.eneco.2020.104703.
- Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. Cambridge University, Working Paper.
- Pesaran, M. H., Ullah, A., & Yamagata, T. (2008). A bias‐adjusted LM test of error cross‐section independence. The Econometrics Journal, 11(1), 105-127, Doi: https://doi.org/10.1111/j.1368-423X.2007.00227.x.
- Pesaran, M., & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), 50-93, Doi: https://doi.org/10.1016/j.jeconom.2007.05.010.
- SakiruAdebola, S., A.Gil-Alana, L., & Madigu, G. (2019). Gold prices and the cryptocurrencies: Evidence of convergence and cointegration. Physica A: Statistical Mechanics and its Applications, 523, 1227-1236, https://doi.org/10.1016/j.physa.2019.04.123.
- Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 1-9, Doi: https://doi.org/10.1016/j.irfa.2020.101496.
- Su, C.-W., Huang, S.-W., Qin, M., & Umar, M. (2021). Does crude oil price stimulate economic policy uncertainty in BRICS? Pacific-Basin Finance Journal, 66, 1-12, Doi: https://doi.org/10.1016/j.pacfin.2021.101519.
- TareqSaeed, Bouri, E., & Alsulami, H. (2021). Extreme return connectedness and its determinants between clean/green and dirty energy investments. Energy Economics, 96, 1-14, Doi: https://doi.org/10.1016/j.eneco.2020.105017.
- Topaloğlu, E. E. (2019). Kripto Para Bitcoin Ve Döviz Kurları İlişkisi: Yapısal Kırılmalı Eşbütünleşme ve Nedensellik Analizi. Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 17(2), 367-382.
- Vaddepalli, S., & Antoney, L. (2018). Are Economic Factors Driving BitCoin Transactions? An Analysis of Select Economies. Finance Research Letters, 163(12), 106-109.
- Yahoo Finance. (2021). https://finance.yahoo.com/cryptocurrencies/heatmap?.tsrc=fin-srch (Erişim Tarihi: 25/03/2021)
- Yen, K.-C., & Cheng, H.-P. (2021). Economic policy uncertainty and cryptocurrency volatility. Finance Research Letters, 38, 1-7, Doi: https://doi.org/10.1016/j.frl.2020.101428.
- Yu, J., Shi, X., Guo, D., & Yang, L. (2021). Economic policy uncertainty (EPU) and firm carbon emissions: Evidence using a China provincial EPU index. Energy Economics, 94, 1-11, Doi: https://doi.org/10.1016/j.eneco.2020.105071.
- Zhou, K., Kumar, S., Yu, L., & Jiang, X. (2021). The economic policy uncertainty and the choice of entry mode of outward foreign direct investment: Cross-border M&A or Greenfield Investment. Journal of Asian Economics, 74, 1-14, Doi: https://doi.org/10.1016/j.asieco.2021.101306.
Öz
In this study, the effect of economic policy uncertainty (EPU) on cryptocurrencies is investigated by panel data methods. For this purpose, firstly, monthly data of the four largest cryptocurrencies and the global economic policy uncertainty (EPU) index were obtained. The cryptocurrencies used in the study are Bitcoin (BTC), Ethereum (ETH), BinanceCoin (BNB) and Ripple (XRP). Cross section dependency and homogeneity tests were carried out in this study in which data for the period 2018: 01-2020: 12 were used. Later, bootstrap panel causality test which proposed by Kónya (2006) was applied. EPU and Bitcoin, which ranked first out of four cryptocurrencies, had a two-way causality relationship, while no causality relationship was found for the last-place XRP. In the second and third ranked crypto currencies, it has been observed that there is a one-way causality relationship from EPU to these coins. Findings from the study show that economic policy uncertainty can have an impact on the value of cryptocurrencies.
Anahtar Kelimeler
Cryptocurrency Economic Policy Uncertainty Bootstrap Panel Causality Test
Kaynakça
- Altig, D., Baker, S., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., . . . Thwaites, G. (2020). Economic uncertainty before and during the COVID-19 pandemic. Journal of Public Economics, 191, 1-13, https://doi.org/10.1016/j.jpubeco.2020.104274.
- Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. he Quarterly Journal of Economics, 131(4), 1593–1636, Doi: https://doi.org/10.1093/qje/qjw024.
- Blockchain. (2021). Trade Volume: https://www.blockchain.com/charts/trade-volume (Erişim Tarihi: 26/03/2021)
- Breusch, T. S., & Pagan, A. R. (1980). The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1), 239-253, Doi: https://doi.org/10.2307/2297111.
- Demir, E., Gozgor, G., Lau, C. K., & A.Vigne, S. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters, 26, 145-149, Doi: https://doi.org/10.1016/j.frl.2018.01.005.
- Economic Policy Uncertainty. (2021). https://www.policyuncertainty.com/index.html (Erişim Tarihi: 26/03/2021).
- Kang, W., & Ratti, R. A. (2015). Oil Shocks, Policy Uncertainty and Stock Returns in China. Economics of Transition, 23(4), 657-676, Doi: 10.1111/ecot.12062.
- Kónya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978-992, Doi: https://doi.org/10.1016/j.econmod.2006.04.008.
- Kyrıazis, N. A. (2020). The Effects of Gold, Stock Markets and Geopolitical Uncertainty on Bitcoin Prices and Volatility. Global Economy Journal, 20(4), 1-15, Doi: https://doi.org/10.1142/S2194565920500207.
- Li, X., & Wang, C. A. (2017). The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95, 49-60, Doi: https://doi.org/10.1016/j.dss.2016.12.001.
- Okorie, D. I., & Lin, B. (2020). Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy. Energy Economics, 87, 1-10, https://doi.org/10.1016/j.eneco.2020.104703.
- Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. Cambridge University, Working Paper.
- Pesaran, M. H., Ullah, A., & Yamagata, T. (2008). A bias‐adjusted LM test of error cross‐section independence. The Econometrics Journal, 11(1), 105-127, Doi: https://doi.org/10.1111/j.1368-423X.2007.00227.x.
- Pesaran, M., & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), 50-93, Doi: https://doi.org/10.1016/j.jeconom.2007.05.010.
- SakiruAdebola, S., A.Gil-Alana, L., & Madigu, G. (2019). Gold prices and the cryptocurrencies: Evidence of convergence and cointegration. Physica A: Statistical Mechanics and its Applications, 523, 1227-1236, https://doi.org/10.1016/j.physa.2019.04.123.
- Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 1-9, Doi: https://doi.org/10.1016/j.irfa.2020.101496.
- Su, C.-W., Huang, S.-W., Qin, M., & Umar, M. (2021). Does crude oil price stimulate economic policy uncertainty in BRICS? Pacific-Basin Finance Journal, 66, 1-12, Doi: https://doi.org/10.1016/j.pacfin.2021.101519.
- TareqSaeed, Bouri, E., & Alsulami, H. (2021). Extreme return connectedness and its determinants between clean/green and dirty energy investments. Energy Economics, 96, 1-14, Doi: https://doi.org/10.1016/j.eneco.2020.105017.
- Topaloğlu, E. E. (2019). Kripto Para Bitcoin Ve Döviz Kurları İlişkisi: Yapısal Kırılmalı Eşbütünleşme ve Nedensellik Analizi. Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 17(2), 367-382.
- Vaddepalli, S., & Antoney, L. (2018). Are Economic Factors Driving BitCoin Transactions? An Analysis of Select Economies. Finance Research Letters, 163(12), 106-109.
- Yahoo Finance. (2021). https://finance.yahoo.com/cryptocurrencies/heatmap?.tsrc=fin-srch (Erişim Tarihi: 25/03/2021)
- Yen, K.-C., & Cheng, H.-P. (2021). Economic policy uncertainty and cryptocurrency volatility. Finance Research Letters, 38, 1-7, Doi: https://doi.org/10.1016/j.frl.2020.101428.
- Yu, J., Shi, X., Guo, D., & Yang, L. (2021). Economic policy uncertainty (EPU) and firm carbon emissions: Evidence using a China provincial EPU index. Energy Economics, 94, 1-11, Doi: https://doi.org/10.1016/j.eneco.2020.105071.
- Zhou, K., Kumar, S., Yu, L., & Jiang, X. (2021). The economic policy uncertainty and the choice of entry mode of outward foreign direct investment: Cross-border M&A or Greenfield Investment. Journal of Asian Economics, 74, 1-14, Doi: https://doi.org/10.1016/j.asieco.2021.101306.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | İşletme |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 23 Aralık 2021 |
| Gönderilme Tarihi | 20 Nisan 2021 |
| Kabul Tarihi | 2 Eylül 2021 |
| Yayımlandığı Sayı | Yıl 2021 Cilt: 6 Sayı: 2 |