A Causal Relationship Among the Financial Indicators of Bitcoin, Gold, and VIX: An Empirical Analysis of the Fragile Five

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dc.contributor.authorKaratas, Emin
dc.contributor.authorKaratas, Ayyuce Memis
dc.date.accessioned2024-11-07T13:31:52Z
dc.date.available2024-11-07T13:31:52Z
dc.date.issued2023
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThis research discusses the causal relationship among the exchange rates, 10-year bond yields, and Central Bank policy rates with regard to the countries known as the Fragile Five (F5) by comparing them to global indicators such as gold, Bitcoin price, and the Volatility Index (VIX). The study takes into consideration the bond yields, exchange rates, and interest rates of T & uuml;rkiye, India, Indonesia, South Africa and Brazil in terms of their causal relationship with one another. The study also identifies some causal relationships among gold, bitcoin, and VIX with each other as global indicators by using the Toda Yamamoto approach to the Granger causality test. This study has arrived at the conclusion that a causal relationship exists between exchange rates and interest rates for T & uuml;rkiye, Indonesia, and South Africa but not for Brazil or India. VIX is the most significant variable, as it is affected by seven different variables, including policy rates and different exchange rates. In addition, none of the variables are seen to Granger cause bitcoin's price.
dc.identifier.doi10.26650/ekoist.2023.39.1271842
dc.identifier.endpage75
dc.identifier.issn2651-396X
dc.identifier.issue39
dc.identifier.startpage65
dc.identifier.trdizinid1264768
dc.identifier.urihttps://doi.org/10.26650/ekoist.2023.39.1271842
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1264768
dc.identifier.urihttps://hdl.handle.net/11480/15094
dc.identifier.wosWOS:001318415300006
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.publisherIstanbul Univ
dc.relation.ispartofEkoist-Journal of Econometrics and Statistics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_20241106
dc.subjectCausality
dc.subjectToda Yamamoto Analysis
dc.subjectExchange Rate
dc.subjectInterest Rate
dc.subjectBond Yield
dc.subjectVIX
dc.titleA Causal Relationship Among the Financial Indicators of Bitcoin, Gold, and VIX: An Empirical Analysis of the Fragile Five
dc.typeArticle

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