俄罗斯资本市场与比特币卢布汇率的关系

Asia Pacific Journal of Management and Technology Pub Date : 1900-01-01 DOI:10.46977/apjmt.2022v02i04.004

Debesh Bhowmik

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引用次数: 0

摘要

本文利用2021年11月1日至2022年4月18日期间的日常数据，采用协整和向量误差修正分析的方法，探讨比特币卢布汇率与俄罗斯资本市场之间的关系，这些资本市场指标包括美元卢布汇率、MOEX指数、RTX指数、莫斯科交易所交易周转率和俄罗斯的RUONIA，这是由于俄罗斯和乌克兰之间的战争，以及疫情后的恢复。研究发现，比特币卢布汇率的趋势线是周期性的，有四个阶段，其小波阈值信号曲线为爆炸性振荡。资本市场指标对比特币卢布价格的短期因果关系不存在，但长期因果关系不显著且趋于协整，其中比特币卢布与美元卢布汇率、MOEX指数的关系显著为负，与RTX指数的关系显著为正。很明显，从长远来看，比特币卢布定价对俄罗斯资本市场的影响不大。

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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The Nexus between Russian Capital Market and Bitcoin Rouble Exchange Rate

The paper endeavour to explore the nexus between Bitcoin Rouble exchange rate and the Russian capital market using cointegration and vector error correction analysis taking the capital market indicators namely US Dollar Rouble exchange rate, MOEX index, RTX index, Moscow exchange trade turn over and RUONIA of Russia using daily data from 1/11/2021 to 18/4/2022 as a consequence of post pandemic recovery and sets back from war between Russia and Ukraine. The paper found that the trend line of Bitcoin Rouble rate is cyclical with four phases whose Wavelet threshold signal curve is explosive oscillatory. There are no short run causalities from the indicators of capital market to the Bitcoin Rouble price but there is insignificant and converging cointegrating long run causalities from those indicators where the relation between Bitcoin Rouble and US Dollar Rouble rate and MOEX index are significantly negative and the relation with RTX index is significantly positive. It was evident that there is little significant influence of Bitcoin Rouble pricing on the Russian capital market in the long run.

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Asia Pacific Journal of Management and Technology

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