A study on relationship between crypto currency, commodity and foreign exchange rate
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https://doi.org/10.33102/jmifr.v19i2.457Keywords:
Bitcoin, gold, crude oil, US Dollar, cryptocurrency and granger causalityAbstract
Bitcoin is one of the crypto currencies which is increasingly popular as a digital currency. Bitcoin is a digital asset that can be accepted by global modern society nowadays. Bitcoin can be used in online transactions either for the purchase of goods or services. This study aims to find out the significant relationship between Bitcoin, gold, crude oil, and USD. In addition, this study also examines the causal relationship that exists between Bitcoin with each variable, whether bitcoin affects the variable or independent variable affects bitcoin. The data used is secondary data obtained from historical data in investing.com starting from September 2015 until September 2020. This data was analyzed using Regression and Correlation, Unit Root Test and Pairwise Granger Causality to see the relationship and influence between variables. The results show that there is a significant relationship between bitcoin, gold, and crude oil. While there is an insignificant relationship with the USD. The study also shows that there is a positive correlation impact between Bitcoin, gold, and crude oil. There is a negative correlation impact between Bitcoin and the USD. That is, when there is an increase in gold and crude oil, it will also increase the Bitcoin. As for the USD currency, if the USD increases, Bitcoin will decrease and vice versa. Based on the analysis of granger causality shows that gold, crude oil, and USD do not cause Bitcoin, but Bitcoin, gold and crude oil cause the USD.
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