ID | 189423 |
Title Proper | What caused what? The Israeli Shekel and cryptocurrencies |
Language | ENG |
Author | Cohen, Gil ; Arbel, Yuval |
Summary / Abstract (Note) | This article examines the relationships between 21 fiat currencies to Bitcoin price movements using daily data from the beginning of 2012 to the end of March 2021. We use a two-stage analysis. The first stage excludes currencies, which are uncorrelated with the daily returns of the Bitcoin. The second stage is to run a Granger-causality test on the remaining six currencies to examine whether lagged excess returns on the Bitcoin Granger-cause the excess returns on the currencies or vice versa. Results support the conclusion that the return on Bitcoin Granger-Cause the return on the Israeli Shekel (ILS), but not vice versa. A possible explanation of these outcomes is the susceptibility of financial investors in Bitcoin and the ILS to the Israeli economy. |
`In' analytical Note | Israel Affairs Vol. 29, No.2; Apr 2023: p.377-384 |
Journal Source | Israel Affairs Vol: 29 No 2 |
Key Words | Economy ; Israel ; Fiat Currencies ; Bitcoin ; Cryptocurrencies ; Shekel ; Randomwalk |