The Impacts of Central Bank Indicators on Commodity Prices: An Application of ARDL Bounds Test
Çiğdem Yılmaz Özsoy, Ph.D.
Assist. Prof., Department of Economics, Faculty of Economics, Administrative and Social Sciences
Istanbul Ayvansaray University, Istanbul, Turkey, email@example.com
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
Yılmaz Özsoy, Ç. (2021). The Impacts of Central Bank Indicators on Commodity Prices: An Application of ARDL Bounds Test. Alphanumeric Journal, 9(1), 13-24. http://dx.doi.org/10.17093/alphanumeric.720873
- Environmental Degradation in Thailand: Empirical Evidence from ARDL and Wavelet Coherence Approaches. Pollution, 7(1), 181-196. Doi: 10.22059/poll.2020.309083.88.
- Ahmed, S. (2018). ARDL Model as A Remedy for Spurious Regression: Problems, Performance, and Prospectus. Munich Personal RePEc Archive, 1–31. https://mpra.ub.uni-muenchen.de/83973/1/MPRA_paper_83973.pdf
- Alhodiry, A., Rjoub, H., Samoa, A. (2021). Impact of Oil Prices, The U.S. Interest Rates on Turkey’s Real Estate Market. New Evidence from Combined Co-Integration and Bootstrap ARDL Tests. PLoS ONE, 16(1). https://doi.org/10.1371/journal.pone.0242672
- Baek,C., and Elbeck, M. (2015). Bitcoins As An Investment Or Speculative Vehicle? A First Look, Applied Economics Letters, 22(1), 30-34. https://www.tandfonline.com/doi/abs/10.1080/13504851.2014.916379
- Bartos, J. (2015). Does Bitcoin Follow the Hypothesis of Efficient Market, International Journal of Economic Sciences, 4/2, 10-23. https://www.iises.net/international-journal-of-economic-sciences/publication-detail-189
- Cheah, E. and Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130. 32-36. https://doi.org/10.1016/j.econlet.2015.02.029
- Cheung, A., Roca, E, Su, J.J. (2013). Crypto-Currency Bubbles: An Application of the Phillips-Shi-Yu Methodology on Mt.Gox Bitcoin Prices”, Applied Economics, 47/23, 2348-2358. https://www.tandfonline.com/doi/abs/10.1080/00036846.2015.1005827
- Corbet, S., Lucey, B., and Yarovya, L. (2018). Datestamping the Bitcoin and Ethereum Bubbles”, Finance Research Letters, 26, 81-88. https://www.sciencedirect.com/science/article/abs/pii/S1544612317307419
- Fabris, N. (2019). “Cashless Society - The Future of Money or a Utopia?”, Journal of Central Banking Theory and Practice, 8(1), 53–66. https://doi.org/10.2478/jcbtp-2019-0003
- Faure, A.P. (2014). Interest Rates 1: What are Interest Rates? SSRN Electronic Journal. DOI: 10.2139/ssrn.2542083
- Fernandes, C., Borges, M.R., Caiado, J. (2021). The Contribution of Digital Financial Services to Financial Inclusion in Mozambique: An ARDL Model Approach. Applied Economics, 53(3), 400-409. https://doi.org/10.1080/00036846.2020.1808177
- Fuinhas, J.A., and Marques, A.G. (2012). Energy Consumption and Economic Growth Nexus in Portugal, Italy, Greece, Spain and Turkey: An ARDL Bounds Test Approach (1965-2009). Energy Economics, 34(2), 511-517. https://doi.org/10.1016/j.eneco.2011.10.003
- Granger, C. W. J. (1974). Spurious Regressions in Econometrics. A Companion to Theoretical Econometrics, 2(2), 111–120. https://doi.org/10.1002/9780470996249.ch27
- Gunji, H. (2016). Are Bitcoin Prices Rational Bubbles. The Empirical Economics Letters, 15(9), 819-824.
- Hammoudeh, S., Sarı, R., and Ewing, B.T. (2009). Relationships among strategic commodities and with Financial Variables: A New Look, Contemporary Economic Policy, 27(2), 251-264.
- Johansen, S., and Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
- Kristoufek, L. (2013). Bitcoin Meets Google Trends and Wikipedia: Quantifying the Relationship Between Phenomena of the Internet Era, Scientific Reports, 3(3415), 1–7. https://doi.org/10.1038/srep03415
- Kristoufek, L. (2015). What are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis, Plos One, 10/4, 1–15. https://doi.org/10.1371/journal.pone.0123923
- Li, J.P., Naqvi, B., Rizvi, S.K.A, Chang, H.L. (2021). Bitcoin: The Biggest Financial Innovation of Fourth Industrial Revolution and A Portfolio’s Efficiency Booster, Technological Forecasting and Social Change, 162(January), 1-10. https://doi.org/10.1016/j.techfore.2020.120383
- Malladi, R.K, and Dheeriya, P. (2021). Time Series Analysis of Cryptocurrency Returns and Volatilities. Journal of Economics and Finance, 45, 75-94. https://doi.org/10.1007/s12197-020-09526-4
- Narayan, P. K., and Narayan, S. (2005). Estimating Income and Price Elasticities of Imports for Fiji In a Cointegration Framework. Economic Modelling, 22(3), 423–438. https://doi.org/10.1016/j.econmod.2004.06.004
- Narayan, P. K., and Smyth, R. (2006). What Determines Migration Flows from Low-Income to High-Income Countries? An empirical investigation of Fiji-U.S. migration 1972-2001. Contemporary Economic Policy, 24(2), 332–342. https://doi.org/10.1093/cep/byj019
- Onah, E.O., Ujunwa, A.I., Ogundele, O.S. (2021). Effect of Financial Technology on Cash Holding in Nigeria. African Journal of Economic and Management Studies. https://doi.org/10.1108/AJEMS-04-2020-0190
- Pesaran, M. H., Shin, Y., and Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
- Peters, G., Panayi, E., and Chapelle, A. (2015). Trends in cryptocurrencies and blockchain technologies: a monetary theory and regulation perspective. The Journal of Financial Perspectives: FinTech, 3(3), 1-43. https://www.ey.com/Publication/vwLUAssets/ey-trends-in-cryptocurrencies-and-blockchain-technologies-a-monetary-theory-and-regulation-perspective/$FILE/ey-trends-in-cryptocurrencies-and-blockchain-technologies-a-monetary-theory-and-regulation-perspective.pdf
- Prentis, M. (2015). Digital Metal: Regulating Bitcoin as a Commodity. Case Western Reserve Law Review, 66(2), 609-638. https://scholarlycommons.law.case.edu/cgi/viewcontent.cgi?article=2654&context=caselrev
- Qamruzzaman, M., and Wei, J. (2018). Financial Innovation, Stock Market Development, and Economic Growth: An Application of ARDL Model. International Journal of Financial Studies, 6(3), 1-30. http://dx.doi.org/10.3390/ijfs6030069
- Sabalionis, A., Wang, W., Park, H. (2020). What Affects the Price Movements in Bitcoin and Ethereum?. The Manchester School, 1-26. https://doi.org/10.1111/manc.12352
- Shynkevich, A. (2020). Impact of Bitcoin Futures on the Informational Efficiency of Bitcoin Sport Market. Journal of Futures Markets, 1-20. https://doi.org/10.1002/fut.22164
- Tari, R., and Yıldırım, Ç. (2009). Döviz Kuru Belirsizliğinin İhracata Etkisi: Türkiye İçin Bir Uygulama. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 95–105. https://doi.org/10.18657/yecbu.22783
- Uddin, M.G.S., and Alam, M.M. (2010). The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange, South Asian Journal of Management Sciences, 4(1), 21-30.
- Wegdell, A.A.G. (2014). Prospects of Bitcoin - An Evalutation Of Its Future. Lund University. http://lup.lub.lu.se/student-papers/record/4462711
- Wolla, S.A. (2018). Bitcoin: Money or Financial Investment?, Federal Reserve Bank of St. Louis, 1-6. https://files.stlouisfed.org/files/htdocs/publications/page1-econ/2018/03/01/bitcoin-money-or-financial-investment_SE.pdf
- Yermak, D. (2013). Is Bitcoin A Real Currency? An Economic Appraisal, Cambridge, National Bureau of Economic Research. https://www.nber.org/papers/w19747.pdf
- Yılancı, V. (2012). Türkiye’de Para Talebi İstikrarsızlığının Testi: Kayan Pencerelerde Sınır Testi Yaklaşımı. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, (33), 67–74. https://dergipark.org.tr/en/download/article-file/55789
Volume 9, Issue 1, 2021
Received: April 16, 2020
Accepted: Jan. 27, 2021
Published: June 30, 2021
Full Text [485.5 KB]
Yılmaz Özsoy, Ç.
This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence, which permits unrestricted re-use, distribution, and reproduction in any medium, provided the original work is properly cited.
scan QR code to access this article from your mobile device