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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.22 No.2
- 발행연도
- 2023.6
- 수록면
- 109 - 119 (11page)
- DOI
- 10.7232/iems.2023.22.2.109
이용수
초록· 키워드
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This study examines the asymmetric relationship between three major cryptocurrencies (Bitcoin, Ethereum, and Tether) and three exchange rates in Thailand (THB/USD, THB/CNY, and THB/JPY), before and during the Covid-19 outbreak through a NARDL framework. Interestingly, this study noticed that increases and decreases in Tether showed more considerable influence on the movement of THB/USD, THB/CNY, and THB/JPY than either Bitcoin or Ethereum in both sub-periods. Given the results from the NARDL approach, increases and decreases in all three cryptocurrencies (BTC, ETH, USDT) confirm the long-run asymmetric association on THB/USD, THB/CNY and THB/JPY during the Covid-19 outbreak. Compared to the period before the pandemic, only two exchange rates-THB/USD and THB/CNY, were affected by the movement of all cryptocurrencies under study. Additionally, the results from an asymmetric short-run relationship suggest that a decrease in Bitcoin and Ethereum resulted in volatility of THB/USD, THB/CNY, and THB/JPY during the Covid-19 pandemic. Before the pandemic, both increases and decreases in Tether are correlated with the changing of the THB/USD, THB/CNY, and THB/JPY. The findings of this study could be essential for development of financial policies and currency market regulation rules in Thailand.
목차
ABSTRACT
1. INTRODUCTION
2. LITERATURE REVIEW
3. DATA AND METHODOLOGY
4. RESULTS AND DISCUSSION
5. CONCLUSION
REFERENCES
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