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Relaciones en el comportamiento de los precios de las criptomonedas: un análisis econométrico a través de modelos VAR y VEC / Relationship in the Cryptocurrencies Price Behavior: An Econometric Analysis through VAR and VEC Models

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  • Nájera Salmerón, Jorge Alberto

    (Departamento de Economía, División de Ciencias Sociales y Humanidades, Universidad Autónoma Metropolitana -Unidad Azcapotzalco)

Abstract

En el siguiente trabajo se realiza un análisis sobre el comportamiento de los precios de seis criptomonedas: el Bitcoin, el Etherum, el Dash, el Ripple, el Litecoin y el Zcash, haciendo uso de vectores autorregresivos, funciones de impulso-respuesta, pruebas de causalidad de Granger y la prueba de cointegración de Johansen. El objetivo de la investigación es mostrar si existe relación de corto y/o largo plazo entre las variaciones en los precios de las criptomonedas, de tal forma que cuando los precios de alguna de éstas varían, las otras también fluctúan en relación a la variación de los precios de la criptomoneda en cuestión, y por tanto, intentar anticipar las fluctuaciones en los precios de una criptomoneda a partir de los movimientos de precios de las demás / In this paper an analysis on the behavior of the prices of six cryptocurrencies: Bitcoin, Ethereum, Dash, Rippe, Litecoin and Zcash is carried out, using Autoregressive Vectors, Impulse-response Functions, Granger Causality Test and Johsen’s Cointegration Test.The objective of the research is to find out if there is a short and/or long term relationship between the variations in the prices of the cryptocurrencies, in such a way that when the prices of some of these vary, the others also fluctuate in relation to the variation of the cryptocurrency in question, and therefore, try to anticipate the fluctuations in one cryptocurrency price derived from the price movements of the others.

Suggested Citation

  • Nájera Salmerón, Jorge Alberto, 2019. "Relaciones en el comportamiento de los precios de las criptomonedas: un análisis econométrico a través de modelos VAR y VEC / Relationship in the Cryptocurrencies Price Behavior: An Econometric Analys," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 9(1), pages 33-61, enero-jun.
    • Handle: RePEc:sfr:efruam:v:9:y:20189:i:1:p:33-61
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    More about this item

    Keywords

    series de tiempo; rendimientos; procesos autorregresivos; econometría / Time Series; Performance; Autoregressive Processes; Econometrics.;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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