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INTERNATIONAL CAPITAL FLOWS AND THE CRYPTOCURRENCY EFFECT

Year 2021, Volume: 13 Issue: 24, 16 - 35, 31.01.2021
https://doi.org/10.14784/marufacd.879164

Abstract

Bu makale, 132 ülkeden oluşan küresel bir panelde ve Asya, Avrupa Birliği (AB), Amerika gibi farklı bölgelerdeki AR (1) – CGARCH modelinin metodolojisi aracılığıyla Bitcoin dalgalanmasının uluslararası sermaye girişleri üzerindeki etkisini araştırmaktadır. Bulgular, Bitcoin dalgalanmasının küresel uluslararası sermaye girişlerinin yanı sıra Amerika ve Asya vakalarında güçlü bir etkisi olduğunu belgeliyor. Ancak sonuçlar, AB ve Afrika ülkelerinin durumları için istatistiksel olarak önemsiz bir etkiyi gösteriyor.

References

  • Aghion, P, Bacchetta, P.,and Banerjee, A (2004). Financial development and the instability of open economies. Journal of Monetary Economics, 51, 1077-1106.
  • Alesina, A, and Wagner, A (2006). Choosing (and reneging on) exchange rate regimes. Journal of the European Economic Association, 4, 770-799.
  • Androulaki, E., Karame, G. O., Roeschlin, M., Scherer, T., & Capkun, S. (2013, April). Evaluating user privacy in bitcoin. In International Conference on Financial Cryptography and Data Security (pp. 34-51). Springer, Berlin, Heidelberg.
  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2019). Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61, 37-51.
  • Bartosova, V, and Petrova, L (2019). Accounting of transactions in electronic money: international trends. Bitcoin.com: https://www.bitcoin.com/you-need-to-know, 01.26.2018.
  • Bloomberg (2018). https://www.cnbc.com/2018/01/15/china-is-reportedly-raising-thebar-on-its-cryptocurrency-crackdown.html, 01.26.2018
  • Bouri, E, Molnár, P, Azzi, G, Roubaud, D, and Hagfors, LI (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198.
  • Brito, J, and Castillo, A (2013). Bitcoin: a primer for policymakers. Working Paper, Mercatus Center, George Mason University.
  • Broner, F, and Rigobon, R (2005). Why are capital flows so much more volatile in emerging than in developed countries? Working Paper, No. 382, Central Bank of Chile.
  • Broto, C, Diaz-Cassou, J, and Erce-Dominguez, A (2008). The sources of capital flows volatility: empirical evidence for emerging countries. Money Affairs, 21, 1-22.
  • Bryans, D (2014). Bitcoin and money laundering: mining for an effective solution. Indiana Law Journal, 89, 441-472.
  • Burniske, C., & White, A. (2017). Bitcoin: Ringing the bell for a new asset class. Ark Invest (January 2017) https://research. ark-invest. com/hubfs/1_Download_Files_ARK-Invest/White_Papers/Bitcoin-RingingThe-Bell-For-A-New-Asset-Class. pdf.
  • Calvo, GA, and Reinhart, CM (2002). Fear of floating. Quarterly Journal of Economics, 107, 379-408.
  • Cheah, ET, and Fry, J (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 3236.
  • Chinn, M, and Ito, H (2008). A new measure of financial openness. Journal of Comparative Policy Analysis, 10, 309-322.
  • CoinMarketCap (2019). https://coinmarketcap.com/ , 09.12.2019
  • de Jesús Gutiérrez, R., Calisto, E. O., & Salgado, O. G. (2017). Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America. Contaduría y administración, 62(4), 1081-1099.
  • Eyal, I., Gencer, A. E., Sirer, E. G., & Van Renesse, R. (2016). Bitcoin-ng: A scalable blockchain protocol. In 13th {USENIX} symposium on networked systems design and implementation ({NSDI} 16) (pp. 45-59).
  • Fry, J., & Cheah, E. T. (2016). Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis, 47, 343-352.
  • Garcia, D, Tessone, CJ, Mavrodiev, P, and Perony, N (2014). The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. Journal of the Royal Society Interface, 11, 2014-2023.
  • Gray, J., Rumpe, B. Models for digitalization. Softw Syst Model 14, 1319–1320 (2015). https://doi.org/10.1007/s10270-015-0494-9
  • Hanley, BP (2013). The false premises and promises of Bitcoin. arXiv preprint arXiv:1312.2048.
  • Hayes, AS (2016). Cryptocurrency value formation: an empirical study leading to a cost of production model for valuing bitcoin. Telematics and Informatics, 41, 256-291.
  • Hayes, AS (2017). Cryptocurrency value formation: an empirical study leading to a cost of production model for valuing bitcoin. Telematics and Informatics, 34, 1308-1321.
  • Hilorme, T., Shurpenkova, R., Kundrya-Vysotska, O., Sarakhman, O., Lyzunova, O. (2019). Model of energy saving forecasting in entrepreneurship. Journal of Entrepreneurship Education. 22(Special Issue), 1-6.
  • Huberman, G, Leshno, JD, and Moallemi, CC (2017). Monopoly without a monopolist: An economic analysis of the bitcoin payment system. Columbia Business School Research Paper, No. 17-92, Columbia University.
  • Ilzetzki, E, Reinhart, CM, and Rogoff, KS (2017). Exchange arrangements entering the 21st century: which anchor will hold? Working Paper, No. 23134, National Bureau of Economic Research.
  • International Monetary Fund (IMF) (2007). Global financial stability report: October 2007. Washington, DC., http://www.imf.org/External/Pubs/FT/GFSR/2007/02/index.htm, 01.26.2018
  • Ito, H., Jongwanich, J, and Terada-Hagiwara, A (2009). What makes developing Asia resilient in a financially globalized world? ADB Economics Working Paper Series, No. 181, Manila: Asian Development Bank.
  • Jacobs, G (2018). Cryptocurrencies and the challenge of global governance. Cadmus, 3, 109-123.
  • Katsiampa, P (2017). Volatility estimation for Bitcoin: a comparison of GARCH models. Economics Letters, 158, 3-6.
  • Klein, MW, and Shambaugh, JC (2015). Rounding the corners of the policy trilemma: sources of monetary policy autonomy. American Economic Journal: Macroeconomics, 7, 33-66.
  • Levy-Yeyati, E, and Sturzenegger, F (2005). Classifying exchange rate regimes: deeds vs. words. European Economic Review, 49, 1603-1635.
  • Liargovas, P. (2012). Economics, Political and Social Issues.
  • Limba, T, Stankevičius, A, and Andrulevičius, A (2019). Cryptocurrency as disruptive technology: theoretical insights. Entrepreneurship and Sustainability Issues, 6, 2068-2080.
  • Magud, NE, Reinhart, CM, and Vesperoni, ER (2014). Capital inflows, exchange rate flexibility and credit booms. Review of Development Economics, 18, 415-430.
  • Makarov, I., & Schoar, A. (2019, May). Price discovery in cryptocurrency markets. In AEA Papers and Proceedings (Vol. 109, pp. 97-99).
  • Mehmet Balcılar, EB (2017). Can volume predict Bitcoin returns and volatility? A quantiles-based approach. Economic Modelling, 64, 74-81.
  • Meiklejohn, S, Pomarole, M, Jordan, G, Levchenko, K, McCoy, D, Voelker, GM, and Savage, S (2016). A fistful of Bitcoins: characterizing payments among men with no names. Communications of the ACM, 59, 86-93.
  • Michalski, T, and Stoltz, G (2013). Do countries falsify economic data strategically? Some evidence that they might. The Review of Economics and Statistics, 95, 591616.
  • Mislinski, J (2018). Market cap to GDP: an updated look at the Buffett valuation indicator’. https://www.advisorperspectives.com/dshort/updates/2018/01/03/market-capto-gdp-an-updated-look-at-the-buffett-valuation-indicator.
  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.(2008). https:// http://www.bitcoin.org/bitcoin.pdf, 01.01.2019
  • Panagiotis G, and Liargovas, KS (2012). Foreign direct investment and trade openness: the case of developing economies. Social Indicators Research, 106, 323-331.
  • Pesaran, MH (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22, 265-312.
  • IMF Report, I (2007). The quality of domestic financial markets and capital inflows. IMF Staff Papers, 77-108.
  • Samani R (2013). Digital laundry: an analysis of online currencies and their use in cybercrime. White Paper, McAfee Labs.
  • Tucker, PC (2009). The digital currency doppelganger: regulatory challenge or harbinger of the new economy? Cardozo Journal of International and Comparative Law, 17, 589-626.
  • Underwood, S. (2016). Blockchain beyond bitcoin.
  • Wei, SJ (2011). Not all financial integration is created equal: the composition matters. In Devereux, M., Lane, P., Park, C.Y., Wei, S.J. (Eds.), The Dynamics of Asian Financial Integration: Facts and Analytics. Oxon and New York: Asian Development Bank/Routledge.
  • Yang, G, and Gu, Q (2016). Effects of exchange rate variations on bilateral trade with a vehicle currency: evidence from China and Singapore. Journal of International Money and Finance, 68, 50-73.
  • Yermack, D (2013). Is Bitcoin a real currency? An economic appraisal. Working Paper, No. 19747, National Bureau of Economic Research.
  • Yermack, D (2017). Corporate governance and blockchains. Review of Finance, 21, 731.

INTERNATIONAL CAPITAL FLOWS AND THE CRYPTOCURRENCY EFFECT

Year 2021, Volume: 13 Issue: 24, 16 - 35, 31.01.2021
https://doi.org/10.14784/marufacd.879164

Abstract

The paper investigates the impact of Bitcoin volatility on international capital inflows through the methodology
of an AR(1)-CGARCH model across a global panel of 132 countries, as well as across different regions, i.e.
Asia, European Union (EU), America (including the US, Canada and Latin American countries), and Africa.
The findings document that there is a strong impact of Bitcoin volatility on global international capital inflows,
as well as in the cases of the American and Asian cases. However, the results document a statistically insignificant
effect for the cases of the EU and African countries.

References

  • Aghion, P, Bacchetta, P.,and Banerjee, A (2004). Financial development and the instability of open economies. Journal of Monetary Economics, 51, 1077-1106.
  • Alesina, A, and Wagner, A (2006). Choosing (and reneging on) exchange rate regimes. Journal of the European Economic Association, 4, 770-799.
  • Androulaki, E., Karame, G. O., Roeschlin, M., Scherer, T., & Capkun, S. (2013, April). Evaluating user privacy in bitcoin. In International Conference on Financial Cryptography and Data Security (pp. 34-51). Springer, Berlin, Heidelberg.
  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2019). Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61, 37-51.
  • Bartosova, V, and Petrova, L (2019). Accounting of transactions in electronic money: international trends. Bitcoin.com: https://www.bitcoin.com/you-need-to-know, 01.26.2018.
  • Bloomberg (2018). https://www.cnbc.com/2018/01/15/china-is-reportedly-raising-thebar-on-its-cryptocurrency-crackdown.html, 01.26.2018
  • Bouri, E, Molnár, P, Azzi, G, Roubaud, D, and Hagfors, LI (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198.
  • Brito, J, and Castillo, A (2013). Bitcoin: a primer for policymakers. Working Paper, Mercatus Center, George Mason University.
  • Broner, F, and Rigobon, R (2005). Why are capital flows so much more volatile in emerging than in developed countries? Working Paper, No. 382, Central Bank of Chile.
  • Broto, C, Diaz-Cassou, J, and Erce-Dominguez, A (2008). The sources of capital flows volatility: empirical evidence for emerging countries. Money Affairs, 21, 1-22.
  • Bryans, D (2014). Bitcoin and money laundering: mining for an effective solution. Indiana Law Journal, 89, 441-472.
  • Burniske, C., & White, A. (2017). Bitcoin: Ringing the bell for a new asset class. Ark Invest (January 2017) https://research. ark-invest. com/hubfs/1_Download_Files_ARK-Invest/White_Papers/Bitcoin-RingingThe-Bell-For-A-New-Asset-Class. pdf.
  • Calvo, GA, and Reinhart, CM (2002). Fear of floating. Quarterly Journal of Economics, 107, 379-408.
  • Cheah, ET, and Fry, J (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 3236.
  • Chinn, M, and Ito, H (2008). A new measure of financial openness. Journal of Comparative Policy Analysis, 10, 309-322.
  • CoinMarketCap (2019). https://coinmarketcap.com/ , 09.12.2019
  • de Jesús Gutiérrez, R., Calisto, E. O., & Salgado, O. G. (2017). Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America. Contaduría y administración, 62(4), 1081-1099.
  • Eyal, I., Gencer, A. E., Sirer, E. G., & Van Renesse, R. (2016). Bitcoin-ng: A scalable blockchain protocol. In 13th {USENIX} symposium on networked systems design and implementation ({NSDI} 16) (pp. 45-59).
  • Fry, J., & Cheah, E. T. (2016). Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis, 47, 343-352.
  • Garcia, D, Tessone, CJ, Mavrodiev, P, and Perony, N (2014). The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. Journal of the Royal Society Interface, 11, 2014-2023.
  • Gray, J., Rumpe, B. Models for digitalization. Softw Syst Model 14, 1319–1320 (2015). https://doi.org/10.1007/s10270-015-0494-9
  • Hanley, BP (2013). The false premises and promises of Bitcoin. arXiv preprint arXiv:1312.2048.
  • Hayes, AS (2016). Cryptocurrency value formation: an empirical study leading to a cost of production model for valuing bitcoin. Telematics and Informatics, 41, 256-291.
  • Hayes, AS (2017). Cryptocurrency value formation: an empirical study leading to a cost of production model for valuing bitcoin. Telematics and Informatics, 34, 1308-1321.
  • Hilorme, T., Shurpenkova, R., Kundrya-Vysotska, O., Sarakhman, O., Lyzunova, O. (2019). Model of energy saving forecasting in entrepreneurship. Journal of Entrepreneurship Education. 22(Special Issue), 1-6.
  • Huberman, G, Leshno, JD, and Moallemi, CC (2017). Monopoly without a monopolist: An economic analysis of the bitcoin payment system. Columbia Business School Research Paper, No. 17-92, Columbia University.
  • Ilzetzki, E, Reinhart, CM, and Rogoff, KS (2017). Exchange arrangements entering the 21st century: which anchor will hold? Working Paper, No. 23134, National Bureau of Economic Research.
  • International Monetary Fund (IMF) (2007). Global financial stability report: October 2007. Washington, DC., http://www.imf.org/External/Pubs/FT/GFSR/2007/02/index.htm, 01.26.2018
  • Ito, H., Jongwanich, J, and Terada-Hagiwara, A (2009). What makes developing Asia resilient in a financially globalized world? ADB Economics Working Paper Series, No. 181, Manila: Asian Development Bank.
  • Jacobs, G (2018). Cryptocurrencies and the challenge of global governance. Cadmus, 3, 109-123.
  • Katsiampa, P (2017). Volatility estimation for Bitcoin: a comparison of GARCH models. Economics Letters, 158, 3-6.
  • Klein, MW, and Shambaugh, JC (2015). Rounding the corners of the policy trilemma: sources of monetary policy autonomy. American Economic Journal: Macroeconomics, 7, 33-66.
  • Levy-Yeyati, E, and Sturzenegger, F (2005). Classifying exchange rate regimes: deeds vs. words. European Economic Review, 49, 1603-1635.
  • Liargovas, P. (2012). Economics, Political and Social Issues.
  • Limba, T, Stankevičius, A, and Andrulevičius, A (2019). Cryptocurrency as disruptive technology: theoretical insights. Entrepreneurship and Sustainability Issues, 6, 2068-2080.
  • Magud, NE, Reinhart, CM, and Vesperoni, ER (2014). Capital inflows, exchange rate flexibility and credit booms. Review of Development Economics, 18, 415-430.
  • Makarov, I., & Schoar, A. (2019, May). Price discovery in cryptocurrency markets. In AEA Papers and Proceedings (Vol. 109, pp. 97-99).
  • Mehmet Balcılar, EB (2017). Can volume predict Bitcoin returns and volatility? A quantiles-based approach. Economic Modelling, 64, 74-81.
  • Meiklejohn, S, Pomarole, M, Jordan, G, Levchenko, K, McCoy, D, Voelker, GM, and Savage, S (2016). A fistful of Bitcoins: characterizing payments among men with no names. Communications of the ACM, 59, 86-93.
  • Michalski, T, and Stoltz, G (2013). Do countries falsify economic data strategically? Some evidence that they might. The Review of Economics and Statistics, 95, 591616.
  • Mislinski, J (2018). Market cap to GDP: an updated look at the Buffett valuation indicator’. https://www.advisorperspectives.com/dshort/updates/2018/01/03/market-capto-gdp-an-updated-look-at-the-buffett-valuation-indicator.
  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.(2008). https:// http://www.bitcoin.org/bitcoin.pdf, 01.01.2019
  • Panagiotis G, and Liargovas, KS (2012). Foreign direct investment and trade openness: the case of developing economies. Social Indicators Research, 106, 323-331.
  • Pesaran, MH (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22, 265-312.
  • IMF Report, I (2007). The quality of domestic financial markets and capital inflows. IMF Staff Papers, 77-108.
  • Samani R (2013). Digital laundry: an analysis of online currencies and their use in cybercrime. White Paper, McAfee Labs.
  • Tucker, PC (2009). The digital currency doppelganger: regulatory challenge or harbinger of the new economy? Cardozo Journal of International and Comparative Law, 17, 589-626.
  • Underwood, S. (2016). Blockchain beyond bitcoin.
  • Wei, SJ (2011). Not all financial integration is created equal: the composition matters. In Devereux, M., Lane, P., Park, C.Y., Wei, S.J. (Eds.), The Dynamics of Asian Financial Integration: Facts and Analytics. Oxon and New York: Asian Development Bank/Routledge.
  • Yang, G, and Gu, Q (2016). Effects of exchange rate variations on bilateral trade with a vehicle currency: evidence from China and Singapore. Journal of International Money and Finance, 68, 50-73.
  • Yermack, D (2013). Is Bitcoin a real currency? An economic appraisal. Working Paper, No. 19747, National Bureau of Economic Research.
  • Yermack, D (2017). Corporate governance and blockchains. Review of Finance, 21, 731.
There are 52 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Murat Akbalık

Nicholas Apergıs This is me

Melis Zeren This is me

Ömer Sarıgül This is me

Publication Date January 31, 2021
Submission Date September 23, 2020
Published in Issue Year 2021 Volume: 13 Issue: 24

Cite

APA Akbalık, M., Apergıs, N., Zeren, M., Sarıgül, Ö. (2021). INTERNATIONAL CAPITAL FLOWS AND THE CRYPTOCURRENCY EFFECT. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(24), 16-35. https://doi.org/10.14784/marufacd.879164