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Risks 2018, 6(4), 111; https://doi.org/10.3390/risks6040111

Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis

Center of Excellence for Research in Finance and Accounting (CERFA), American University in Dubai, Dubai 28282, UAE
Received: 29 August 2018 / Revised: 30 September 2018 / Accepted: 3 October 2018 / Published: 8 October 2018
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Abstract

The paper analyzes the relationship between the most popular cryptocurrencies and a range of selected fiat currencies, in order to identify any pattern and/or causality between the series. Cryptocurrencies are a hot topic in Finance due to their strict relationship with the Blockchain system they originate from and therefore are normally considered as part of the ongoing, world-wide financial revolution. This innovative study investigates this relationship for the first time by thoroughly investigating the data, their features, and the way they are interconnected. Results show very interesting results in terms of how concentrated the causality effect on some specific cryptocurrencies and fiat currencies is. The outcome is a clear and possibly explainable relationship between cryptocurrencies and Asian markets, while envisioning some kind of Asian effect. View Full-Text
Keywords: cryptocurrency; fiat currency; causality; regression; relationship cryptocurrency; fiat currency; causality; regression; relationship
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Corelli, A. Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis. Risks 2018, 6, 111.

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