美元指數與比特幣匯率在疫情期間下的均衡關係

Abstract

2020年全球爆發COVID-19，重創世界經濟與金融市場，至2022年全球染疫死亡人數超過600萬人。為避免因疫情對經濟造成二次傷害，美國率先實施量化寬鬆政策發放大量補助，各國央行紛紛跟進釋放大量貨幣。本研究欲透過時間序列等研究方法探討在疫情爆發的2020年至2021年間，美元指數期貨價格、比特幣兌美元價格、恐慌指數、黃金期貨價格、銅期貨價格間是否有彼此互相影響關係或長期穩定關係與短期之變化。結果發現，本研究之變數間與銅期貨價格具有共整關係，因此採用向量誤差正模型分析之。結果顯示，在長期共整合下美元指數與比特幣價格兩者之間有格蘭傑因果的回饋關係。同時數據顯示，比特幣兌美元價格的漲跌與銅期貨價格有同步的狀況。後續追蹤10個月後的數據預測變化，僅有一個月出現與結果不符合的狀況。The global outbreak of the COVID-19 pandemic in 2020 has severely hit the world economy and financial markets. By 2022, the global death toll from the epidemic will exceed 6 million. To avoid secondary damage to the economy caused by the epidemic, the United States took the lead in implementing the quantitative easing policy to issue large amounts of subsidies, and central banks around the world followed suit and released large amounts of money. This study intends to use time series and other research methods to explore whether there is a causal relationship or a long-term stable relationship and short-term changes between the US dollar index futures price, bitcoin to the US dollar exchange rate, VIX, gold futures price, and copper futures prices during the period from 2020 to 2021 when the epidemic broke out. It is empirically found that the variables in this study have a co-integration relationship with the gold futures price, so the VECM is used to analyze it.The results show that there is a Granger causal feedback relationship between the US dollar index and Bitcoin price under long-term co-integration. At the same time, the data shows that the rise and fall of the price of Bitcoin against the US dollar is synchronized with the price of copper futures. The data forecast changes after 10 months of follow-up were followed, and only one month appeared inconsistent with the results.