Pengaruh Faktor-Faktor Makroekonomi Terhadap Harga Cryptocurrency: Analisis Multi-Koin (2016-2024)
-
Muflih Ammar
*
Universitas Pendidikan Indonesia, Bandung,
Indonesia
- Maya Sari Universitas Pendidikan Indonesia, Bandung, Indonesia
- Netti Siska Nurhayati Universitas Pendidikan Indonesia, Bandung, Indonesia
Abstract
This study analyzes the impact of inflation (Consumer Price Index/CPI) and interest rates (Federal Funds Rate) on the prices of five major cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Dogecoin (DOGE), and Stellar (XLM)—over the period 2016–2024. Employing a quantitative approach, the study develops five separate multiple regression models, each representing one cryptocurrency as the dependent variable (Y). The results indicate that BTC, ETH, and DOGE are positively influenced by both inflation and interest rates. In contrast, XRP and XLM are only significantly and positively affected by inflation, while interest rates show no significant impact on their prices. The F-tests for each model confirm that inflation and interest rates simultaneously exert a significant effect on the prices of all five cryptocurrencies. These findings support the Arbitrage Pricing Theory (APT), which posits that asset valuation is determined by systematic risk factors, implying that even cryptocurrencies are not immune to the influence of inflation and interest rates.
References
Aboura, S. (2022). A Note On The Bitcoin And Fed Funds Rate. Empirical Economics, 63(5), 2577–2603. Https://Doi.Org/10.1007/S00181-022-02207-7
Andrean, G. (2020). Determinant Of The Bitcoin Prices As Alternative Invesment In Indonesia. Indicators : Journal Of Economic And Business, 1(1), 22–29. Https://Doi.Org/10.47729/Indicators.V1i1.48
Buthelezi, E. M. (2024). Cryptocurrency Responses To U.S. Monetary Policy Shocks: A Data-Driven Exploration Of Price And Volatility Patterns. The American Economist. Https://Doi.Org/10.1177/05694345241269036
Choi, S., & Shin, J. (2022). Bitcoin: An Inflation Hedge But Not A Safe Haven. Finance Research Letters, 46, 102379. Https://Doi.Org/10.1016/J.Frl.2021.102379
Cong, L. W., Ghosh, P., Li, J., & Ruan, Q. (2024). Inflation Expectation And Cryptocurrency Investment. Https://Doi.Org/10.3386/W32945
Conlon, T., Corbet, S., & Mcgee, R. J. (2020). Are Cryptocurrencies A Safe Haven For Equity Markets? An International Perspective From The COVID-19 Pandemic. Research In International Business And Finance, 54, 101248. Https://Doi.Org/10.1016/J.Ribaf.2020.101248
Corbet, S., Larkin, C., & Lucey, B. (2020). The Contagion Effects Of The COVID-19 Pandemic: Evidence From Gold And Cryptocurrencies. Finance Research Letters, 35, 101554. Https://Doi.Org/10.1016/J.Frl.2020.101554
Elsayed, A. H., & Sousa, R. M. (2024). International Monetary Policy And Cryptocurrency Markets: Dynamic And Spillover Effects. The European Journal Of Finance, 30(16), 1855–1875. Https://Doi.Org/10.1080/1351847X.2022.2068375
Gea, J. N., & Silalahi, D. (2022). Perbandingan Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham Lq45 Yang Terdaftar Di Bursa Efek Indonesia (Periode 2018-2020). Jurnal Manajemen Dan Bisnis, 22(2), 488–501. Https://Doi.Org/10.54367/Jmb.V22i2.2150
Ghozali, I. (2021). Aplikasi Analisis Multivariate Dengan Pogram IBM SPSS 26 (10th Ed.). Badan Penerbit Universitas Diponegoro.
Giudici, G., Milne, A., & Vinogradov, D. (2020). Cryptocurrencies: Market Analysis And Perspectives. Journal Of Industrial And Business Economics, 47(1), 1–18. Https://Doi.Org/10.1007/S40812-019-00138-6
Lu, T. (2023). US Monetary Policy Uncertainty And Changes In Cryptocurrency Market: Evidence From ARIMA Model. Highlights In Business, Economics And Management, 20, 116–124. Https://Doi.Org/10.54097/Hbem.V20i.12331
Mankiw, N. Gregory. (2021). Principles Of Economics (9th Ed.). Cengage Learning.
Mishkin, F. S. ., & Serletis, Apostolos. (2022). The Economics Of Money, Banking And Financial Markets (13th Ed.). Pearson Addison Wesley.
Mohammed, B., Ya’u Hayewa, S., Shuaibu, H., & Mahmud Bunu, N. (2022). Effect Of Cryptocurrency On Inflation In Nigeria. International Economic And Finance Review, 1(2), 92–108. Https://Doi.Org/10.56897/Iefr.V1i2.21
Sarker, P. K., & Wang, L. (2022). Co-Movement And Granger Causality Between Bitcoin And M2, Inflation And Economic Policy Uncertainty: Evidence From The U.K. And Japan. Heliyon, 8(10), E11178. Https://Doi.Org/10.1016/J.Heliyon.2022.E11178
Shahzad, S. J. H., Bouri, E., Roubaud, D., & Kristoufek, L. (2020). Safe Haven, Hedge And Diversification For G7 Stock Markets: Gold Versus Bitcoin. Economic Modelling, 87, 212–224. Https://Doi.Org/10.1016/J.Econmod.2019.07.023
Smales, L. A. (2024). Cryptocurrency As An Alternative Inflation Hedge? Accounting & Finance, 64(2), 1589–1611. Https://Doi.Org/10.1111/Acfi.13193
Sugiyono. (2022). Metode Penelitian Kuantitatif, Kualitatif, Dan R&D. Alfabeta.
Tri Wahyuni, M., Ridwan, E., & Fitrizal Salim, D. (2024). US Macroeconomic Determinants Of Bitcoin. Investment Management And Financial Innovations, 21(2), 240–252. Https://Doi.Org/10.21511/Imfi.21(2).2024.19
Copyright (c) 2025 Muflih Ammar, Maya Sari, Netti Siska Nurhayati
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under Creative Commons Attribution 4.0 International License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (Refer to The Effect of Open Access).
