The Impacts of Central Bank Indicators on Commodity Prices: An Application of ARDL Bounds Test
Çiğdem Yılmaz Özsoy, Ph.D.
This paper investigates the impacts of Central Bank Indicators on Bitcoin/TL prices as a Commodity by using the ARDL Bounds Test. In the article, monthly data between 2017:09 – 2019:12 is used. The Central Bank Indicators are explained by M2 money supply, one-month interest rates of bank deposits, one-week repo interest rate, 10-year government bond. In the paper, Bitcoin's prices are considered as a Commodity in TL. The stationary behavior of variables is investigated by using the ADF test and it is found that all the variables are stationary in first differences for the trend and constant model. But the price of Bitcoin in TL is stationary in level for the constant model. Thus, to discover the long-run relationship between variables, the ARDL test is applied. As a result of the ARDL test, it is found that there is a long-run relationship between all the Central Bank indicators and Bitcoin/TL prices. According to obtained results, while the M2 money supply and Turkey’s 10-year government bonds (%) move together with Bitcoin prices; the one-week repo interest rate as a political rate, and one-month interest rates of the deposit move in opposite directions with Bitcoin prices in a long-run.
Keywords: ARDL, Central Bank, Cointegration, Commodity, Unit root
Jel Classification: C01, E4, E5
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Volume 9, Issue 1, 2021
Received: April 16, 2020
Accepted: Jan. 27, 2021
Published: June 30, 2021
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Yılmaz Özsoy, Ç.
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