بررسی عوامل موثر بر نوسانات قیمت رمز ارزها با تأکید بر سیاست‌های پولی و مالی ایالات متحده

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانش آموخته دکتری اقتصاد دانشگاه رازی، کرمانشاه.

2 استاد گروه اقتصاد دانشگاه رازی، کرمانشاه

3 استاد اقتصاد دانشگاه رازی ، دانشکده اقتصاد و حسابداری، کرمانشاه، ایران.

چکیده

رمزارزها به عنوان یک پدیده نوظهور در دو دهه اخیر توجه بسیاری را به خود جلب کرده است. نوسانات شدید در قیمت رمزارزها اهمیت شناسایی و فرآیند اثرگذاری عوامل موثر بر تغییرات قیمت در بازارهای مالی دو چندان نموده است. بر این اساس سعی خواهد شد در این تحقیق به مدل‌سازی عوامل موثر بر نوسانات قمیت ارزهای دیجیتال پرداخته شود. بر اساس تحقیقات گذشته عوامل متعددی بر نوسانات قیمت ارزهای دیجیتال اثرگذار است. این عوامل به دو دسته عوامل خارج از بازار و عوامل مرتبط با بازار قابل دسته‌بندی است. در این تحقیق 26 عامل موثر بر ایجاد نوسانات قیمت رمز ارزها مورد ارزیابی قرار گرفتند. تحقیق حاضر کاربردی است و از داده‌های ماهانه در بازه زمانی 2010 تا 2022 استفاده شده است. در این مقاله از رویکرد مدل‌های گارچ و نوسان تصادفی جهت استخراج نوسان قیمت ارزهای دیجیتال و از مدل‌های TVPDMA، TVPDMS و BMA جهت شناسایی مهم‌ترین متغیرهای موثر بر ایجاد نوسان در این متغیر بهره گرفته است. بر اساس نتایج، مدل‌های SV نسبت به مدل‌های گارچ در استخراج نوسانات از دقت بالاتری برخوردارند. از میان مدل‌های TVPDMA، TVPDMS و BMA، بر اساس نتایج مدل BMA از دقت بالاتری جهت شناسایی مهم‌ترین متغیرهای غیرشکننده موثر بر نوسانات قیمت رمز ارزها تعیین گردید. نتایج این رویکرد بیانگر این واقعیت بود که متغیرهای نرخ مبادله دلار و یورو، تویت‌های تریلرها و رهبران بازار، تعداد معاملات روزانه رمزارزها، سختی روزانه شبکه رمزارزها، رشد نقدینگی آمریکا، قیمت بازشدن رمز ارز و حجم مبادلات؛ مهم‌ترین متغیرهای موثر بر نوسان قیمت رمز ارزها می‌باشند. بر اساس نتایج با توجه به اثرگذاری نرخ مبادله دلار به یورو و نقدینگی در نوسانات بازار رمز ارزها، مشاهده می‌گردد سیاست‌های پولی ایالات متحده بر نوسانات بازار رمز ارزها تأثیر معناداری دارد اما سیاست‌های مالی موجب ایجاد نوسان در این بازار به صورت معناداری نشده است.

کلیدواژه‌ها

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Analyzing the factors affecting the price of virtual currencies (Case study: Bitcoin and Ethereum). *Journal of Monetary and Banking Research*, 13(46), 591-629. SID. https://sid.ir/paper/1060154/fa
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Predicting Bitcoin price using machine learning algorithms. *Applied Economics*, 10(34 & 35), 1-13. doi: 10.30495/JAE.2020.18114
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Predicting Bitcoin cryptocurrency price using machine learning. [Master's thesis, Campus of Science, Faculty of Mathematics, Statistics, and Computer Science]. doi: 10.30495/FED.2023.700133
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  • تاریخ دریافت: 01 تیر 1402
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