A VECM analysis of Bitcoin price using time-varying cointegration approach

This study proposed an optimal model to examine the relationship between Bitcoin price and six macroeconomic variables – price, Standard Poor's 500 volatility index, US treasury 10-year yield, consumer gold dollar index. It also examined effectiveness of vector error correction (VECM) in analyzing interrelationship among these variables. The authors employed following approach: first, sampled period August 2010–February 2022. is because achieved a market capitalization more than US$1 tn over this period, gaining attention acceptance from retail, corporate institutional investors. Second, VECM with Finally, expanded long-run equilibrium (time-invariant cointegration)-based develop time-varying cointegration (TVC) VECM. estimated TVC using Chebyshev polynomial specification based on various information criteria. results showed that can be modeled ( p = 1, r 1). approach generated explanatory power for pricing, indicating modeling