BITCOIN SPEKÜLATİF FİYAT BALONUNUN VARLIĞININ TESTİ

Kripto para birimlerinin gelişimi, paranın ekonomik fonksiyonlarına ve temellerine de meydan okuduğundan merkez bankaları için en önemli gündem maddelerinden biri haline gelmiştir. Bu çalışmada, bir varlığın fiyatında balon oluşup oluşmadığını ve oluşumunun tarihi sırasını saptamada kullanılabilecek en uygun istatistiki modellerden Augmented Dickey-Fuller birim kök testinin Phillips ve arkadaşları tarafından 2011 ve 2015 yıllarında geliştirilen iki versiyonu uygulanmıştır. Sonuçlarımız Bitcoin`in fiyatındaki spekülatif balonun varlığını doğrulamaktadır. Ayrıca, Bitcoin`in getirisinin potansiyel dinamiklerini araştırmak amacıyla da genelleştirilmiş momentler yöntemi (GMM) kullanılmıştır. Sonuçlarımız, Bitcoin`in getirisinin kısa vadede Chicago Opsiyon Borsası (CBOE) Volatilite endeksi, CBOE S&P 500 3-aylık Volatilite Endeksi ve 12-aylık Euribor oranı ile kuvvetli bir ilişki içinde olduğunu göstermektedir. Bu nedenle, finansal hizmetlerdeki teknolojik gelişmeler için tutarlı ve sürekli gelişen teknolojik koşulları takip edebilecek bir yaklaşım içinde etkili bir düzenleyici çerçeve oluşturulmasının kaçınılmaz olduğunu düşünmekteyiz.

TESTING FOR THE PRESENCE OF SPECULATIVE PRICE BUBBLES IN BITCOIN

The evolution of cryptocurrencies has become one of the most pressing issues for central banks as it challenges the economic functions and foundations of money. In this paper, we use recently developed right-tailed unit root tests, designed to detect the presence of a bubble component in an asset’s price and to date-stamp its occurrence. Our results confirm the presence of speculative bubble in bitcoin’s price. In addition, we use the generalized method of moments (GMM) framework to investigate the potential drivers of bitcoin returns. Our results suggest that bitcoin returns are significantly associated in the shortrun with the CBOE Volatility Index, the CBOE S&P 500 3-month Volatility Index and the 12-month Euribor rate. We posit that technological advances in financial services would require an effective regulatory framework that needs to be consistent, but also embrace evolving technologies.

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