Co- Integration and Causality between Macroeconomics Variables and Bitcoin
- Title
- Co- Integration and Causality between Macroeconomics Variables and Bitcoin
- Creator
- Sharma D.; Verma R.; Sam S.
- Description
- The fintech sector has been booming for the past decade, especially with the unprecedented expansion in cryptocurrency innovation. Many countries and their central banks are working to accommodate cryptocurrency in a regulated format into their financial system anywise. This research paper investigates the long-run and short-run relationship between Bitcoin (INR) and the macroeconomic variables of the Indian economy, such as two major stock indices (NSE and BSE), money supply M1, foreign exchange rate (INR/US dollar), and indicators of inflation rate (CPI and WPI). For this purpose, monthly data of the variables from October 2014 to December 2020 are considered. The Johansen co-integration approach depicts the long-run association between Bitcoin and the economic variables, whilst VECM and the Wald coefficient reveal no short-run causality between the variables. The Granger Causality test shows a one-way causal relationship of NSE, BSE and WPI to Bitcoin. Hence, it concluded that stock indices and inflation have a cogent effect and exert on bitcoin prices. The findings will be helpful for policy-makers and investors alike, for an outlook to strategize and explore this everchanging digital instrument. 2024 CRC Press.
- Source
- Data- Driven Modelling and Predictive Analytics in Business and Finance: Concepts, Designs, Technologies, and Applications, pp. 332-344.
- Date
- 2024-01-01
- Publisher
- CRC Press
- Coverage
- Sharma D., Department of Financial Administration, Central University of Punjab, Punjab, India; Verma R., Department of Financial Administration, Central University of Punjab, Punjab, India; Sam S., School of Business and Management Christ, Karnataka, Bengaluru, India
- Rights
- Restricted Access
- Relation
- ISBN: 978-104008846-3; 978-103260191-5
- Format
- Online
- Language
- English
- Type
- Book chapter
Collection
Citation
Sharma D.; Verma R.; Sam S., “Co- Integration and Causality between Macroeconomics Variables and Bitcoin,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 23, 2025, https://archives.christuniversity.in/items/show/18026.