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پاندمی کووید 19، شاخص دلار آمریکا و قیمت بیتکوین: شواهدی از روش تحلیل موجک | ||
تحقیقات مالی | ||
دوره 27، شماره 2، 1404، صفحه 246-273 اصل مقاله (933.64 K) | ||
نوع مقاله: مقاله علمی پژوهشی | ||
شناسه دیجیتال (DOI): 10.22059/frj.2024.361672.1007484 | ||
نویسندگان | ||
رامین امانی1؛ سامان قادری* 2؛ زانکو قربانی3 | ||
1دانشجوی دکتری، گروه توسعۀ اقتصادی و برنامهریزی، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران. | ||
2دانشیار، گروه علوم اقتصادی، دانشگاه کردستان، سنندج، ایران. | ||
3دانشجوی دکتری، گروه علوم اقتصادی، دانشکده علوم انسانی و اجتماعی، دانشگاه کردستان، سنندج، ایران. | ||
چکیده | ||
هدف: در اواخر سال ۲۰۱۹، جهان با چالشی بیسابقه مواجه شد. بحران کووید ۱۹ همۀ اقتصادهای توسعهیافته و درحالتوسعه را تحت تأثیر قرار داد و در عین حال، بازارهای مالی بینالمللی را بهشدت محدود کرد. همانطور که کشورها به اجبار، قرنطینۀ سراسری را اجرا کردند، بازارهای مالی بسته شدند و هزینههای مراقبتهای بهداشتی افزایش و رشد اقتصادی تا حدی کاهش یافت. ارزهای دیجیتال بهطور چشمگیری تحت تأثیر بیماری کووید ۱۹ قرار گرفتند. کووید ۱۹ تنها دلیل افزایش قیمت بیتکوین نبود؛ اما شاید بهدلیل افزایش عدماطمینان و خطر در طول همهگیری جهانی، در افزایش این ارز دیجیتال نقش مهمی ایفا کرد. این پژوهش با استفاده از تبدیل موجک پیوسته (CWT) با هدف بررسی تأثیر کووید ۱۹ و شاخص دلار آمریکا بر قیمت بیتکوین، در تاریخ ۸ آوریل ۲۰۲۰ تا ۸ آوریل ۲۰۲۳ انجام شده است. در حالیکه پژوهشهای محدودی در زمینۀ این موضوع انجام شده است؛ این پژوهش بهدلیل استفاده از تبدیل موجک پیوسته، ضمن داشتن نوآوری، مزیتی نسبت به سایر پژوهشهای انجام شده در این حوزه دارد. روش: در این پژوهش، رویکرد موجک برای تحلیل تأثیر زمان – فرکانس پاندمی کووید ۱۹ و شاخص دلار آمریکا بر قیمت بیتکوین استفاده شده است. روش تبدیل موجک پیوسته، بر اساس مطالعۀ گنجای و همکاران (۲۰۰۲) ارائه و طیف توان موجک متقاطع بین سریهای زمانی مختلف محاسبه شده است. انسجام مربع موجک که بین صفر (ناهمبسته) و یک (کاملاً همبسته) است، به همراه شبیهسازی مونتکارلو، برای تعیین اهمیت آماری و تحلیل وابستگیهای زمانی ـ فرکانسی بهکار رفته است. در دو مرحله، ابتدا رابطۀ قیمت بیتکوین با تعداد مبتلایان، مرگومیر کووید ۱۹ و شاخص دلار آمریکا بررسی شده و پس از آن، از انسجام موجک جزئی برای تحلیل وابستگیهای بیشتر استفاده شده است. یافتهها: یافتههای پژوهش از تأثیر مثبت تعداد مبتلایان و مرگومیر ناشی از ویروس کرونا بر قیمت بیتکوین، طی دورۀ پژوهش حکایت میکند. این در حالی است که تأثیر تعداد مبتلایان، بیش از تأثیر تعداد کشتهشدگان است. دلیل اصلی این امر میتواند افزایش عدماطمینان و ریسک در طول همهگیری و افزایش تقاضای بیتکوین توسط سرمایهگذاران برای محافظت از ثروت و داراییهای خود باشد. از سوی دیگر، شاخص دلار آمریکا در دورۀ پژوهش، بر قیمت بیتکوین تأثیر منفی و معناداری داشته است که میتواند نشئتگرفته از جایگزینی دو کالا بهعنوان پول باشد. نتیجهگیری: بر اساس نتایج پژوهش، تعداد مبتلایان و تعداد مرگومیر ناشی از ویروس کووید ۱۹ در هر میلیون نفر، بر قیمت بیتکوین در بازۀ زمانی پژوهش، تأثیر مثبت و معناداری دارد. دلیل اصلی این تأثیر مثبت را میتوان در فشار تقاضای ناشی از وجود ریسک و نااطمینانی سرمایهگذاران در یافتن سرمایهگذاری امن و افزایش تقاضای بیتکوین، بهعنوان یک نوع دارایی امن دانست. از طرف دیگر، شاخص دلار آمریکا بهعنوان رقیب کالایی بیتکوین، دارای تأثیر منفی و معنادار بر قیمت این ارز دیجیتال در دوره زمانی پژوهش است. دلیل اصلی این امر نیز میتواند در جانشینی دو ارز نسبت به هم دانست؛ زیرا هنگامی که ارزش دلار آمریکا روبهافزایش بوده، قیمت بیتکوین روند کاهشی به خود گرفته است. | ||
کلیدواژهها | ||
کووید 19؛ بیتکوین؛ شاخص نرخ دلار؛ آنالیز موجک | ||
عنوان مقاله [English] | ||
The COVID-19 Pandemic, the US Dollar Index, and Bitcoin Prices: Evidence from the Wavelet Analysis Method | ||
نویسندگان [English] | ||
Ramin Amani1؛ Saman Ghaderi2؛ Zanko Ghorbani3 | ||
1Ph.D. Candidate, Department of Economic Development and Planning, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran. | ||
2Associate Prof., Department of Economics, University of Kurdistan, Sanandaj, Iran. | ||
3Ph.D Candidate, Department of Economics, University of Kurdistan, Sanandaj, Iran. | ||
چکیده [English] | ||
Objective In late 2019, the world faced a profound challenge with the emergence of the COVID-19 crisis, which had a lasting impact on economies across both developed and developing nations. The consequential impact reverberated through international financial markets, forcing their constriction and eventual closure as nations enforced sweeping nationwide quarantines. Simultaneously, healthcare expenditure soared, juxtaposed against a downturn in economic growth. Amid this upheaval, the domain of digital currencies, notably Bitcoin, experienced reverberations from the COVID-19 outbreak. Bitcoin's introduction signaled a new era of direct electronic payments and streamlined cross-border wealth transference, pivotal components underpinning the scaffolding of global trade. While COVID-19 doesn't solely account for the surge in Bitcoin prices, its presence likely played a substantial role, exacerbated by escalated uncertainties and risks amidst the global pandemic. The focal point of this study lies in examining the interplay between COVID-19 dynamics and the US dollar index on Bitcoin prices, utilizing Continuous Wavelet Transform (CWT) data spanning from April 8, 2020, to April 8, 2023. This study's novelty lies in its utilization of the Continuous Wavelet Transform, offering a distinctive edge within the realm of research on this subject. Methods The COVID-19 pandemic emerged as one of humanity's most daunting challenges in recent decades, significantly impacting digital currencies, epitomized by Bitcoin, as an indispensable economic sector. Primarily, this study aims to examine the complex effects of the COVID-19 pandemic and the US dollar index on Bitcoin prices over 977 days from April 2020 to April 2023, utilizing the Continuous Wavelet Transform (CWT). The research framework integrates two pivotal variables: the volume of confirmed COVID-19 cases per million and the tally of confirmed COVID-19 deaths per million. Results The findings unravel a compelling correlation between the frequency of COVID-19 cases and associated fatalities with Bitcoin price fluctuations during the study's duration. Intriguingly, the impact of case occurrences seemingly eclipses that of mortalities, possibly rooted in escalated uncertainties and risks during the pandemic, igniting an amplified demand surge for Bitcoin as investors sought refuge to safeguard their wealth and assets. Conversely, the US dollar index emerges as a noteworthy antagonist, wielding a pronounced negative influence on Bitcoin prices throughout the study period, potentially attributed to the plausible substitution of two commodities functioning as currency. Conclusion The study's findings reveal a clear positive impact of COVID-19 cases and deaths per million on Bitcoin prices during the observed period. This increase is largely driven by heightened demand, as investors, faced with risk and uncertainty, sought out Bitcoin as a safe-haven asset. On the flip side, the U.S. Dollar Index, acting as a competing asset, showed a significant negative effect on Bitcoin’s price during the same time. This is likely due to a substitution effect: as the U.S. dollar strengthens, Bitcoin prices tend to decline. | ||
کلیدواژهها [English] | ||
COVID-19 Pandemic, Bitcoin, U.S. dollar index, Continuous wavelet transform | ||
مراجع | ||
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