Bitcoin as a global risk and the woes of the Turkish Lira

【Author】 Napari, Ayuba; Parlaktuna, Inci

【Source】MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES

【影响因子】0.000

【Abstract】Owing to the high penetration of cryptocurrencies in the Turkish Economy, we sought to determine whether cryptocurrencies as represented by Bitcoin has become a global risk for the Turkish Lira. To accomplish this, we model the Turkish Lira exchange rate returns volatility using threshold GARCH-M with Bitcoin as an exogenous covariate. Bitcoin was found to be a contributor to Turkish forex volatility up until January 2018 when the 'ongoing' currency crisis started. Bitcoin, however, lost its volatility contributory power from January 2018. This result is robust to the inclusion of CBOE-VIX, iShares MSCI Turkey EFT, and the dollar-lira interest rate differential as control variables.

【Keywords】Bitcoin; Turkish Lira; global risk; exchange rate; volatility

【发表时间】

【收录时间】2023-01-18

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币