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Analyzing the Impact of selec‎ted Variables on the Price of Bitcoin by Asymmetric Nonlinear Analysis

اقتصاد

In recent years, with the expansion of cryptocurrency markets particularly the growing significance of Bitcoin as an emerging asset in the fields of finance an‎d investment analyzing the factors influencing its price has become one of the main concerns of researchers an‎d economic actors. Bitcoin, due to its decentralized nature an‎d high price volatility, is influenced by various economic, structural, an‎d behavioral variables compared to traditional assets. Among these, analyzing the relationship between selec‎ted economic variables an‎d Bitcoin price fluctuations can provide deeper insights for policymakers an‎d investors to forecast market developments. The main objective of this study is to examine the impact of selec‎ted variables including economic (quantitative) variables (such as the U.S. nominal interest rate, the U.S. Dollar Index, global gold price, an‎d mining difficulty) an‎d structural (qualitative) variables (such as Bitcoin halving events an‎d whale activities) on Bitcoin price using an advanced analytical model (NARDL). This study aims to separately analyze the positive an‎d negative shocks of these variables to clarify the asymmetric relationships between them an‎d the price of Bitcoin. For data analysis, the Nonlinear Autoregressive Distributed Lag (NARDL) model has been employed, which enables the differentiation between increasing an‎d decreasing effects of variables in both the short run an‎d the long run. The data were collected on a monthly basis from April 2016 to January 2024 an‎d analyzed using EViews software. The analysis included unit root tests, the Pesaran bounds cointegration test, estimation of short-run an‎d long-run patterns, the Wald test for symmetry, an‎d eva‎luation of classical assumptions. The results indicated that the U.S. Dollar Index, interest rate, an‎d mining difficulty exert significant an‎d asymmetric effects on Bitcoin prices. Specifically, increases in the interest rate an‎d the dollar index lead to a decrease in Bitcoin price, while decreases in these variables do not have a significant effect. Moreover, increases in mining difficulty cause Bitcoin prices to rise, whereas decreases in mining difficulty result in price dro‎ps. The findings suggest that Bitcoin price volatility is influenced by asymmetric shocks of economic variables, an‎d the application of the NARDL model offers a powerful analytical tool for explaining Bitcoin’s price behavior. This research may serve as a basis for economic policymaking an‎d the development of risk management strategies in the cryptocurrency market.

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