An Analysis on the Impact of Commodity Prices and Exchange Rates on the Price of Bitcoin

摘要

Bitcoin is the first decentralized cryptocurrency to be traded. There has been drastic increase in the price of bitcoin since 2013. Granger Causality analysis has been carried out to examine whether the price of commodities and the exchange rates helps in predicting the future price of bitcoin. For this study, the price of bitcoin, commodity prices and exchange rates have been considered from Jan 2103-Sep 2017. After the analysis it can be concluded that the price of commodities and the exchange rates does not help in predicting the future price of bitcoin. The past data of the price of bitcoin helps in predicting the future price of copper and British pound exchange rate with that of U.S dollars.Using Regression analysis, it can be determined that when the price increases by 0.0084 dollars there is one unit increase in the volume of transaction .Using variance analysis it can be observed that the price of bitcoin is more volatile compared to the price of commodities and the exchange rates.