Διερεύνηση των σχέσεων αιτιότητας και συνολοκλήρωσης των κρυπτονομισμάτων με επιλεγμένες μακροοικονομικές και χρηματοοικονομικές μεταβλητές

Abstract

Money was one of man's greatest steps in the transition from barter to modern means of trade. During this time, money came in many different forms, from various objects and precious metals to banking and digital money. Digital, or electronic money, was the beginning of the creation of cryptocurrencies. These controversial assets have engaged the investment world with their large and increasing returns, but also with their large fluctuations. Another element that has kept analysts busy is finding relationships between cryptocurrencies and other variables in order to explain their prices, as well as their large fluctuations. This paper aims to investigate the causality and cointegration relationships between cryptocurrencies and some selected macroeconomic and financial variables. The selected cryptocurrencies are Bitcoin, Ethereum and Cardano, while the other variables are the one-week Euribor maturity rate, the price of Brent crude oil per barrel, the price of gold per ounce (fixed price at 10.30 am, London time), the price of the Dow Jones Industrial Average and the share prices of Nvidia and AMD. The selected cryptocurrencies are Bitcoin, Ethereum and Cardano, while the other variables are the one-week Euribor maturity rate, the price of Brent crude oil per barrel, the price of gold per ounce (fixed price at 10.30 am, London time), the price of the Dow Jones Industrial Average and the share prices of Nvidia and AMD. The data set for each variable is 401 and each variable consists of daily data from 2/1/2020 to 7/26/2021 and the variables, except for the Euribor rate, are expressed in US dollars. Initially, the unit root test is performed using the Augmented Dickey - Fuller test to examine the stationarity of the variables. Then, a Granger causality test is carried out per pair of a cryptocurrency and a macroeconomic or financial variable, in order to find possible causal relationships. Finally, the Engle - Granger cointegration test is carried out per pair of a cryptocurrency and a macroeconomic or financial variable, in order to find possible long-run equilibrium relationships.