Macroeconomic Determinants of Cryptocurrency Volatility: Time Series Analysis

Abstract

Cryptocurrency is a recent and popular topic that attracts the interest of investors and fund managers. Beyond the market discipline, researchers question the interaction between cryptocurrencies and macroeconomic variables. This study focuses on how the changes in gold and oil prices affect the daily price movements of various cryptocurrencies. The daily database used in this study includes the prices of the cryptocurrencies such as Bitcoin, Tether, Ethereum, Litecon and EOS for the period of August 1, 2017 and April 3, 2019. Initially, the stationarity of the time series is tested by Ng and Perron (2001) method. The existence of the cointegration relationship among the series is tested by Johansen (1988) technique. The presence of causality relationships among the series is investigated with the Dolado and Lütkepohl (1996) causality test. The empirical results support that there exists a cointegration relationship only in between Tether and gold and oil prices.