US macroeconomic determinants of Bitcoin

Q2 Economics, Econometrics and Finance

Investment Management and Financial Innovations Pub Date : 2024-05-14 DOI:10.21511/imfi.21(2).2024.19

Mailinda Tri Wahyuni, E. Ridwan, Dwi Fitrizal Salim

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Abstract

This study aims to determine the impact of macroeconomic variables on bitcoin prices in the United States. Bitcoin is one of the cryptocurrencies that has the highest price and the most users in the United States in recent years. This study uses monthly data on inflation, interest rates, USD/EUR rates, gold prices, and bitcoin prices. To achieve the objectives of this study, Dynamic Conditional Correlation (DCC) and Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) were used. The results showed that there is a negative and significant relationship between the variables of inflation, interest rates, and USD/EUR rates affecting the price of Bitcoin in that period. Conversely, there is a positive and significant relationship between the price of gold and the price of Bitcoin in the United States during that period. An in-depth understanding of how macroeconomic factors such as inflation, interest rates and the USD/EUR rates affect Bitcoin price is key to making smart investment decisions in an increasingly complex crypto market. The findings of this analysis confirm that the significant relationship between macroeconomic variables and Bitcoin price provides deeper insights for investors to anticipate market movements and design adaptive investment strategies.

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比特币的美国宏观经济决定因素

本研究旨在确定宏观经济变量对美国比特币价格的影响。比特币是近年来美国价格最高、用户最多的加密货币之一。本研究使用了通货膨胀、利率、美元/欧元汇率、黄金价格和比特币价格的月度数据。为了实现本研究的目标，使用了动态条件相关性（DCC）和多元广义自回归条件异方差性（MGARCH）。结果表明，通货膨胀率、利率和美元兑欧元汇率等变量与比特币价格之间存在显著的负相关关系。相反，在此期间，美国黄金价格与比特币价格之间存在正向显著关系。深入了解通货膨胀、利率和美元/欧元汇率等宏观经济因素如何影响比特币价格，是在日益复杂的加密货币市场上做出明智投资决策的关键。这项分析的结果证实，宏观经济变量与比特币价格之间的显著关系为投资者预测市场动向和设计适应性投资策略提供了更深刻的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Management and Financial Innovations Economics, Econometrics and Finance-Finance

CiteScore

2.50

自引率

0.00%

发文量

审稿时长

11 weeks

期刊介绍： The international journal “Investment Management and Financial Innovations” encompasses the results of theoretical and empirical researches carried out both on macro- and micro-levels, concerning various aspects of financial management and corporate governance, investments and innovations (including using of quantitative methods). It is focused on the international community of financiers, both academics and practitioners. Key topics: financial and investment markets; government policy and regulation; corporate governance; information and market efficiency; financial forecasting and simulation; financial institutions: investment companies, investment funds, investment banks, hedge funds, private pension funds; objects of real and financial investing; financial instruments and derivatives; efficiency of investment projects; econometric and statistic methods in project management; alternative investments; ratings and rating agencies.