Research on the Digital Currency Price Synergy Based on VAR Model: Evidence from Bitcoin and Ethereum

DOI

10.2991/aebmr.k.220405.334How to use a DOI?

Keywords

Bitcoin price; Ethereum price; VAR model; COVID-19

Abstract

Based on the VAR model, we use Bitcoin prices as well as the Ethereum price daily data between December 2019 and January 2022 for dynamic identification, and the empirical analysis results show that the Bitcoin price is the granger reason of Ethereum prices, but Ethereum price is not the Bitcoin prices granger reason, namely in the long run the Bitcoin price fluctuation can affect the Ethereum price fluctuations, But Ethereum price fluctuations do not affect bitcoin price fluctuations. Meanwhile, according to the impulse response diagram, when the Bitcoin price is impacted by one unit, the Ehereum price will fluctuate greatly and approach 0 in the 11th phase. Based on the above research conclusions, this paper will put forward corresponding policy suggestions.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

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TY  - CONF
AU  - Junqi Wang
AU  - Xuecheng Wang
PY  - 2022
DA  - 2022/04/29
TI  - Research on the Digital Currency Price Synergy Based on VAR Model: Evidence from Bitcoin and Ethereum
BT  - Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
PB  - Atlantis Press
SP  - 1996
EP  - 2000
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220405.334
DO  - 10.2991/aebmr.k.220405.334
ID  - Wang2022
ER  -