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476 results · page 20 of 20
David Y. Aharon, Ender Demir, Chi Keung Marco Lau, Adam Zaremba
No abstract is available for this record.
Κωνσταντίνος Γκίλλας, Elie Bouri, Rangan Gupta, David Roubaud
We extend existing studies by considering the higher-order moments relationships among crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in jumps and realized second, third, and fourth moments among crude oil, gold, and Bitcoin markets via Granger causality and generalized impulse response analyses. Results suggest evidence of predictability and emphasize, among others, the need of jointly modeling linkages across those three markets with higher-order moments; otherwise, inaccurate risk assessment and investment inferences may arise. The responses of realized volatility shocks are generally positive. Further analyses indicate evidence of a weaker relationship between gold and crude oil and Bitcoin and crude oil compared to the relationship between Bitcoin and gold. Practical implications are also discussed.
Shaen Corbet, Brian M. Lucey, Larisa Yarovaya
No abstract is available for this record.
Yusuf ÇOLAK, Ali Rıza SANDALCILAR
Çalışmada Türkiye’deki seçili bir takım finansal değişkenlerle (USD, EURO, POUND, SDR, BİST 100, Cumhuriyet Altını, M1 ve M2 para arzları) sanal para birimi Bitcoin (BTC) arasındaki ilişki incelenmiştir. Bu kapsamda 2013-2019 dönemine ait aylık veriler kullanılmıştır. Analizler sonucunda değişkenlerin birinci farklarının durağan olduğu tespit edilmiş, diğer taraftan Bitcoin ile diğer finansal değişkenler arasında uzun dönemli bir eşbütünleşmenin varlığı belirlenmiştir. Değişkenler arasında nedenselliğin araştırıldığı Granger Nedensellik testi ile de Bitcoin’in bağımlı değişken olduğu denklemde SDR ve USD ‘den BTC’ye doğru %5 anlamlılık düzeyinde; Euro ve BIST 100 değişkeninden BTC’ye doğru ise %10 anlamlılık seviyesinde bir nedenselliğin varlığı tespit edilmiştir.
Alex de Vries
No abstract is available for this record.
Bikram Chaudhuri
This paper is one of four in a series that reviews the potential application of blockchain technology in market-based instruments to improve transparency and, consequently, sustainability in the energy value chain in several jurisdictions. The research in these four papers underpins “Blockchain for Governance of Sustainability Transparency in the Global Energy Value Chain” which can be found at: https://ssrn.com/abstract=3236753. In this paper, the author considers the legal and regulatory frameworks for India. From a regulation and policy perspective, the author explores challenges and possibilities for the use of blockchain technology for market based instruments for sustainability, specifically, green certificates and white certificates. The paper also considers the application of blockchain to improve transparency at various stages of the energy value chain.
Chunlin Lang, Yang Hu, Les Oxley, Yang Hou
No abstract is available for this record.
Cansu Şarkaya İçellioğlu, Selma Öner
Cryptocurrencies have emerged about ten years ago as a new form of currency and have attracted much attention since they depend on a fully decentralized system, and so their transactions are very fast and have zero transaction cost. Therefore, character of cryptocurrencies and their volatility have been discussed widely by investors, policymakers and economists in recent years. From this point of view, this study aims to explain the price volatility of cryptocurrencies with macro-financial indicators, and thereby, the effects of S&P 500 stock market index, gold price, oil price, 2-year benchmark US Bond interest rate and US Dollar index on the prices of four major cryptocurrencies, Bitcoin, Litecoin, Ethereum, and Ripple, are investigated. The study comprises a panel data analysis applied to daily data over the period of August 2016 – April 2019, and analysis results show that increases in gold price, oil price and S&P 500 index raise the prices of cryptocurrencies, while increases in 2-year benchmark US Bond interest rate and US Dollar index cause to a fall. This adverse effects of the US Dollar index and US Bond interest rate on the prices of cryptocurrencies indicates that when the value of US Dollar and US Bond yield decrease investors prefer to invest in cryptocurrencies as alternative investment instruments. On the other hand, cryptocurrencies move with a similar trend of stock market index, gold price and oil price which are overall market indicators. Thereby, findings of this study show that cryptocurrencies behave more like an investment instrument than a currency, and prices of these financial assets interact with significant macro-financial indicators.
Özge Korkmaz
Abstract. This study focuses on the dollar, euro, gold, bitcoin and the impact of bubbles in financial investment instruments on bitcoin returns in the context of Turkey. The causal relationships (using the Toda-Yamamato causality test) between the returns of these financial instruments were also determined. In performing this assessment, the sup augmented Dickey-Fuller (SADF) and generalised SADF (GSADF) tests were employed to determine the existence of bubbles based on the period from 1 August 2018 to 23 March 2018. The volatility of bitcoin was tested by autoregressive conditional variant models. As aresult, it was shown that the observed bubbles in gold’s, the euro’s and the dollar’s returns reduced the volatility of bitcoin’s returns. Then, it was shown that the dollar’s, the euro’s and gold’s returns affected bitcoin’s returns. Keywords. Speculative bubbles, Bitcoin, Investment instruments, Autoregressive conditional heteroskedasticity models, Toda-Yamamato causality. JEL. G10, C58, E44.
Qiang Ji, Elie Bouri, Chi Keung Marco Lau, David Roubaud
No abstract is available for this record.
Mehmet Levent Erdaş, Abdullah Emre Çağlar
This study investigates the asymmetric causal relations between Bitcoin and gold, Brent oil, US dollar, S&P 500 and BIST 100 Indexes for the weekly data of the period between November 2013 and July 2018 via by Hatemi-J (2012) test. The results indicate only a causal link going from the Bitcoin price to S&P 500 Index. Consequently, a change in Bitcoin prices appears to influence the investors’ decisions on the S&P 500 Index. Therefore, it can be said that the investors in S&P 500 Index have closely followed the new macro-financial developments in the market and have been active on the S&P 500 market. However, the presence of a causality relation between Bitcoin price and other variables cannot be determined. Thus, it is supposed that Bitcoin may exist in association with the commodity market and other global indicators in the future, along with the recognition of the Bitcoin currency by countries, its being accepted as a means of exchange and its increased reliability.
Emrah Öget, Ersin Kanat
Bu çalışmada, isminden son yıllarda sıkça bahsettiren ve kripto paralardan biri olan Bitcoin fiyatı ile Türkiye ve G7 ülkelerine ait borsa endeksleri arasındaki nedensellik ilişkisi incelenmektedir. Bitcoin fiyatlarındaki dalgalanmanın 2013 yılından itibaren başlaması nedeni ile çalışmada 01.01.2013-26.01.2018 arasındaki günlük veriler kullanılmıştır. Çalışmada öncelikle birim kök testleri ve eşbütünleşme analizi gerçekleştirilmiştir. Değişkenler arasındaki ilişkinin uzun dönemde dengede olup olmadığını analiz edebilmek için vektör hata düzeltme modeli (VECM) kullanılmış, kısa dönemli ilişkiler ise Granger Nedensellik/WALD testi yardımıyla incelenmiştir. Yapılan analizler sonucunda, Bitcoin ile diğer ülke borsaları arasında herhangi bir uzun dönemli denge ilişkisinden söz edilemeyeceği bulunurken, kısa dönemde İngiltere borsasının (FTSE) Bitcoin’in nedeni olduğu sonucuna ulaşılmıştır. Ayrıca, Bitcoin’in de S&P 500 ve Kanada Borsasının (STSX) nedeni olduğu görülmüştür. Sonuç olarak, Bitcoin fiyatının dalgalanması hakkında kısa vadede bu üç borsa endeksinin de fikir verebileceği ortaya çıkmaktadır. Yatırımcılar hem araştırmaya konu olan bu borsalar arasında hem de Bitcoin’e yatırım yaparak risklerini çeşitlendirme yoluna gidebilir.
Olaniyi Evans
This study investigates the relationship between blockchain technology and the financial market. The US and China are used as case studies for the 2008–2016 period using fully modified least square and Toda-Yamamoto causality technique. The estimates show that blockchain technology has positive and significant relationship with the financial market in the US and China. In other words, the higher the levels of blockchain innovation in these countries, the more developed the financial markets. This suggests that the presence of blockchain innovation in financial markets spurs financial development. Blockchain innovation is therefore a positive significant factor for well-developed financial markets. The findings also indicate that macroeconomic factors such as lagged financial development, GDP per capita, the growth rate of GDP, FDI and trade openness have significant and positive relationship with financial development in the two countries. Among the institutional variables, government effectiveness has significant and positive effects only in the US.
A. B. Hayes
This study back-tests a marginal cost of production model proposed to value\nthe digital currency bitcoin. Results from both conventional regression and\nvector autoregression (VAR) models show that the marginal cost of production\nplays an important role in explaining bitcoin prices, challenging recent\nallegations that bitcoins are essentially worthless. Even with markets pricing\nbitcoin in the thousands of dollars each, the valuation model seems robust. The\ndata show that a price bubble that began in the Fall of 2017 resolved itself in\nearly 2018, converging with the marginal cost model. This suggests that while\nbubbles may appear in the bitcoin market, prices will tend to this bound and\nnot collapse to zero.\n
Ikhlaas Gurrib
No abstract is available for this record.
Eduard Baumöhl
This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29 December 2017. Compared with the results obtained from standard correlations and detrended moving-average cross-correlation analysis (DMCA), the quantile cross-spectral approach provides richer information on the dependence structure across different quantiles and frequencies. The most interesting result is that the intra-group dependencies are positive in the lower extreme quantiles, while inter-group dependencies are negative. This result holds in both the short- and long-term perspectives. Thus, it is worth diversifying between these two currency groups.
Yechen Zhu, David Dickinson, Jianjun Li
Bitcoin, the most innovate digital currency as of now, created since 2008, even through experienced its ups and downs, still keeps drawing attentions to all parts of society. It relies on peer-to-peer network, achieved decentralization, anonymous and transparent. As the most representative digital currency, people curious to study how Bitcoin’ price changes in the past. In this paper, we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index, US dollar index, Dow jones industry average, Federal Funds Rate and gold price influence Bitcoin price. From empirical analysis we find that all these variables do have a long-term influence. US dollar index is the biggest influence on Bitcoin price while gold price influence the least. From our result, we conclude that for now Bitcoin can be treated as a speculative asset, however, it is far from being a proper credit currency.
Dirk G. Baur, Thomas Dimpfl, Konstantin Kuck
No abstract is available for this record.
Angela Moulin S. Penalva Santos
DOI: http://dx.doi.org/10.12957/rdc.2015.16954 Trabalho enviado em 27 de junho de 2015. Aceito em 29 de junho de 2015. Resumo O Brasil está organizado como uma federação trina desde que, em 1988, os municípios tornaram-se entes federativos. O fortalecimento institucional do Município incluiu a responsabilidade pela execução das políticas sociais, que eles são obrigados a co-financiar. Ao longo do tempo, a maior gama de responsabilidades administrativas e financeiras tem indicado os limites da descentralização das políticas públicas já que a maior parte dos municípios não tem condições de atender às expectativas criadas com o seu papel na estrutura federativa. Trata-se de um problema derivado do federalismo simétrico no Brasil, que trata igualmente todos os municípios, sem distingui-los por porte demográfico ou função na rede urbana. Esse é o contexto em que se estabelece a disputa federativa pela crescente receita que as empresas pagam ao poder público pela extração de petróleo. Tal receita deixa de ser percebida como compensação pelos impactos ambientais e sociais causados pela atividade extrativa e torna-se mais uma transferência intergovernamental aos entes federativos. Tal situação tende a torna-los todos mais dependentes desta fonte de receita e, assim, mais sensíveis aos interesses da economia do petróleo, o que diminui o ímpeto governamental na defesa da política de substituição de energia fóssil por renováveis. Palavras chave: petróleo, energias renováveis, disputa, federação. Abstract Brazil is organized as a federation in three levels including the federal union, states and municipalities since 1988 when municipalities have become federal entities. The institutional strengthening of the municipality included the responsibility for the implementation of social policies which they are required to co-finance. Over time, the larger range of administrative and financial responsibilities has indicated the limits of decentralization of public policies since most municipalities cannot afford to meet the expectations created by its role in the federal structure. It is a problem of the symmetric federalism in Brazil, which treats all municipalities without distinguishing them by population size or function in the urban network. This is the context of the dispute by the increasing federal revenues that companies pay to the government from oil. This income is no longer seen as a compensation for environmental and social impacts caused by extractive activity and becomes an intergovernmental transfer to states and municipalities. This situation tends to make them all more dependent on this source of revenue and thus more vulnerable to the interests of the oil economy, which reduces the government interests to defend the replacement policy of fossil energy by renewable. Keywords: oil, renewable energy, dispute federation
Kala Seetharam Sridhar
Solid waste, being a basic urban service, is invariably related to urbanization and economic development. In this article, we make an attempt to understand what explains solid waste management (SWM) coverage, a local public service problem, using cross-national data. Using regressions, we find that higher levels of income bring along with them the public awareness, institutional structure, and fiscal capacity to deliver better levels of public services not only in the city but also in the informal settlements. Hence, the objective should be to build awareness of the environmental and health consequences of poor SWM. Furthermore, we find that large cities and decentralized countries are in a better position to deliver SWM in the informal settlements because of the local nature of the service. We find that a major challenge foreseen in meeting the public service demands over the next decade, as it relates to SWM, is financing.