Como variáveis econômicas afetaram o preço do Bitcoin antes e depois da pandemia

Resumo

The objective of this work is to elaborate an analysis of risk factors on cryptocurrencies using the NASDAQ and SP500 indices and economic variables such as the price of gold and the dollar-euro exchange rate, so that the intention is to understand whether or not these affect the price of Bitcoin under the analysis of two time windows, before the Covid19 pandemic and after. This way, we can have some conclusions if external shocks of this character can demand from managers changes in their investment strategies in cryptocurrencies, having Bitcoin as a base. The literature review was done in a way that aimed to identify existing research on what external factors affect the price of Cryptocurrencies and find variables in co-common for further analysis in this research. What was seen in common between the main articles studied were that macroeconomic variables and indices can affect the Bitcoin price formation process differently according to the window análise, and in the study in question, the post-pandemic generated a significant change in the importance of these in Bitcoin's return, both related to causality and correlation between the variables under analysis. As also, it can be noted that the indexes showed more relevance in the return of Bitcoin than the variables such as gold and exchange rate within the two windows of 2017 until 2020 and 2020 until 2022. The result of this analysis is intended to allow comparing the magnitude and direction of the effects of variables such as, SP500, NASDAQ, gold price and dollar-euro exchange rate on Bitcoin's return, given exogenous shocks similar to what occurred in the Covid19 pandemic in early 2020. The model proposed in this dissertation can help managers, developers, and investors understand the external risks for portfolio analysis of a portfolio with cryptocurrencies, given that, in general, other cryptocurrencies are strongly correlated with the Bitcoin price.

Ficha do documento

Tipo

Dissertação

Ano

2022

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/33793

Temas

Economia

Palavras-chave

BitcoinPandemiaVariáveis econômicasRisk factorsPandemicEconomiaInvestimentos - AnáliseCOVID-19 Pandemia, 2020-Moeda - Inovações tecnológicas