Bitcoin and Web Search Query Dynamics: Is the Price Driving the Hype or is the Hype Driving the Price?

37 Pages Posted: 25 Jul 2019

See all articles by Bernd Süssmuth

Bernd Süssmuth

University of Leipzig; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: 2019

Abstract

Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a generic asset. Google queries, although cointegrated, are found to be not helpful in predicting the USD exchange rate of Bitcoin as the speculative bubble in the latter antedates explosive behavior in the former. Chinese Baidu engine queries and compounded Baidu-Google queries predict Bitcoin price dynamics at relatively high frequencies ranging from two to five months. In the other direction, causality runs from the cryptocurrency price to queries statistics across nearly all frequencies. In both directions, the reaction time computed from a phase delay measure for the relevant frequency bands with significant causality ranges from slightly more than one month to about four months.

Keywords: bitcoin, bubbles, frequency domain, causality

JEL Classification: C320, E320, E420, G120, G150

Suggested Citation

Süssmuth, Bernd, Bitcoin and Web Search Query Dynamics: Is the Price Driving the Hype or is the Hype Driving the Price? (2019). CESifo Working Paper No. 7675, Available at SSRN: https://ssrn.com/abstract=3422258

Bernd Süssmuth (Contact Author)

University of Leipzig ( email )

IEW Institute for Empirical Research in Economics
Grimmaische Str. 12
Leipzig, D-04109
Germany
+49 341 97 33782 (Phone)
+49 341 97 33789 (Fax)

HOME PAGE: http://www.wifa.uni-leipzig.de/iew/professur-oekonometrie/team/prof-dr-bernd-suessmuth.html

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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