Introduction/objective: the COVID-19 pandemic triggered unprecedented volatility in Bitcoin prices. While some investors shifted toward low-risk assets, others turned to cryptocurrencies as a potential safe haven. This study aims to assess the impact of random events and the short- and long-term effects on Bitcoin prices during the pandemic. Specifically, it seeks to describe Bitcoin’s price behavior and examine the temporal relationships between its price and variables influenced by lockdown measures.

Methodology: the analysis covers Bitcoin prices from December 2020 to July 2023. The methodological framework includes the Granger Causality test, Engle-Granger Cointegration, Johansen Cointegration, and the Vector Error Correction Model (VECM). These approaches were employed to investigate potential relationships between Bitcoin, financial instruments, and pandemic-related variables.

Results: the findings indicate that the series of fully vaccinated individuals Granger-causes Bitcoin closing prices, with a unidirectional relationship. Engle-Granger cointegration was identified between Bitcoin closing prices and total COVID-19 cases, as well as between the ^TNX (10-Year Treasury Yield) and Bitcoin closing prices. However, Johansen Cointegration did not reveal any significant relationships. The Vector Error Correction Model (VECM) demonstrated an adjustment mechanism between short- and long-term dynamics among independent variables, and the number of vaccinated individuals as well as with ^TNX.

Conclusions: bitcoin closing prices exhibit autoregressive behavior in conjunction with the variable of fully vaccinated individuals, with both showing significance at 10 lags using first differences. These results suggest that vaccination progress and fluctuations in the ^TNX index may influence Bitcoin prices in both the short and long term. This study underscores the importance of considering external shocks, such as pandemics, when analyzing cryptocurrency markets.

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Keywords:
Causality,
lockdown,
coronavirus,
cryptocurrency,
long-term equilibrium,
vaccines.

8_RSN_16(34)_88_Causalidad

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