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TFM-CAF_AnayaLuque_2020.pdf (1.58 MB)

Tipus de document

Treball de fi de màster

Data de publicació

2020

Llicència de publicació

cc-by-nc-nd (c) Anaya Luque, 2020
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/167037

Bitcoin: A long-run equilibrium with East Asian currencies

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Resum

The purpose of the study will be focused on developing and demonstrating the existence of cointegration between the most important cryptocurrency in the world, BTC-Bitcoin, paired with three different local currencies from selected southeast Asian countries: China (BTC-CNY), South Korea (BTC-KRW) and Japan (BTC-JPY). In order to achieve the proposed objective, it is extensively developed the entire process currently established by the most important econometric literature, from the analysis of stationarity of the series and the detection of unit roots to the validation of a VAR model to be contrasted with the Johansen test, its resultant cointegration equation (long-run model) and the dynamic adjustment for each of the target variables. Finally, it has been proposed an ARDL bounds testing approach model to determine and contrast the results obtained with the Johansen test and ensure the existence of a real long-term relationship of the selected series, where the coefficients obtained that determine the link between integrated processes and steady state equilibrium (no growth steady state) using Johansen approach are: 0.0056 (lnBTCKRWt) and 0.0037 (lnBTCJPYt); and through the use of an ARDL bounds testing approach the following coefficients are obtained: 0.00556 (lnBTCKRWt) and 0.00426 (lnBTCJPYt)

Descripció

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2019-2020, Tutor: Samer Ajour El Zein

Matèries

Bitcoin, Moneda electrònica, Econometria, Treballs de fi de màster

Matèries (anglès)

Bitcoin, Electronic funds transfers, Econometrics, Master's theses

Citació

Col·leccions

Màster Oficial - Ciències Actuarials i Financeres (CAF)

Citació

ANAYA LUQUE, David. Bitcoin: A long-run equilibrium with East Asian currencies. [consulted: 11 of August of 2026]. Available at: https://hdl.handle.net/2445/167037

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