Investigating the Impact of the Dollar Index and Gold Return Rate on Bitcoin Price: Non-linear and Asymmetric Analysis
سال انتشار: 1402
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 120
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شناسه ملی سند علمی:
JR_IJBDS-15-1_001
تاریخ نمایه سازی: 8 بهمن 1402
چکیده مقاله:
Over the past few years, Bitcoin's price has fluctuated significantly, making it a hot topic in finance research. Numerous studies have been conducted to determine whether Bitcoin is a reliable currency. This study aims to investigate how the Dollar Index and Gold Return Rate affect Bitcoin's price, using a non-linear approach with the NARDL method. The findings show that the Gold Return Rate (G) and Dollar Index Return Rate significantly negatively impact Bitcoin's return. Additionally, based on non-linear and asymmetric tests, the assumption of symmetry in the results for all variables, except nominal interest rate and commodity index return, is rejected. This indicates that the impact of the Gold Return Rate, nominal interest rate, fluctuations in the US stock market, and oil price return is asymmetric. These results confirm the non-linear nature of these relationships. They also demonstrate that Bitcoin's return has been able to protect itself to a certain degree against the US dollar or some other investments.
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نویسندگان
Masoud Mohammadi
Faculty of Management and Economics, Islamic Azad University Science and Research Branch, Tehran, Iran.
MohammadReza Farzin
Faculty of management, Allameh Tabataba'i University, Tehran, Iran, Corresponding Author.
Shamseddin Hosseini
Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
Teymour Mohammadi
Faculty of Economics, Allameh Tabataba&#۰۳۹;i University, Tehran, Iran