Econometric analysis of the relationship between macroeconomic variables and cryptocurrency: Implementation of bitcoin

The development of technology has led to changes in our daily life and payment systems. Since 2008, a new currency, the crypto currency, has been introduced. There is an increasing interest in this currency, which is not controlled by any central authority, does not have physical characteristics compared to traditional currencies, and provides the opportunity to pay without time constraints. With the example of Bitcoin, the basic features and functional process of cryptocurrencies are mentioned. It is impossible to cancel and track it when it functions with this currency, which provides security and privacy to its users. Bitcoin can be bought and sold, it can be exchanged for physical goods, payment instruments and other currencies. Due to the mentioned advantages, there has been an increase in the number of users, and it has become a means of exchange and investment in the stock markets. In the study, using monthly data between 31.08.2010 and 28.02.2021, the relationship between Bitcoin prices and oil, gold and S&P 500 economic indicators was analyzed. In order to determine the effects of these parameters on Bitcoin, impulse-response and variance decomposition analysis based on the VAR model were applied. At the same time, Johansen cointegration and Granger causality test analysis were performed. As a result of the analysis, although the relationship between the variables in the short run was not determined, the Johansen Cointegration relationship was determined in the long run.