Research on the Digital Currency Price Synergy Based on VAR Model: Evidence from Bitcoin and Ethereum

Abstract

Based on the VAR model, we use Bitcoin prices as well as the Ethereum price daily data between December 2019 and January 2022 for dynamic identification, and the empirical analysis results show that the Bitcoin price is the granger reason of Ethereum prices, but Ethereum price is not the Bitcoin prices granger reason, namely in the long run the Bitcoin price fluctuation can affect the Ethereum price fluctuations, But Ethereum price fluctuations do not affect bitcoin price fluctuations. Meanwhile, according to the impulse response diagram, when the Bitcoin price is impacted by one unit, the Ehereum price will fluctuate greatly and approach 0 in the 11th phase. Based on the above research conclusions, this paper will put forward corresponding policy suggestions.