Virtual currency: a cointegration analysis between bitcoin prices and economic and financial data

• Autor(a) principal: Nunes, Bárbara da Silva Rosa
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/16078
• topic: Bitcoin; Nonstationarity; Cointegration; Vector error correction model; Finanças; Moeda; Cointegração; Indicadores económicos

The cryptocurrencies development around the world has been studied and published by the media, speculating on its continuity, applicability and security. The Bitcoin stands out as the virtual currency that has achieved the highest market value to date and for being in circulation for more than 5 years. This study intends to investigate the existence of a dynamic relationship between Bitcoin prices and economic and financial data whose relationship with physical currencies is known or it has been showed in previous studies. This data includes the Crude and Gold prices, the 6-month and 1-year U.S. Treasury Yields and the S&P 500 Index prices. The results of the study suggests that only the 6-month U.S. Treasury Yields presents a long-term relationship with the Bitcoin prices.