This study employs a Vector Auto regression Model (VAR) and a Quantile Regression Technique to analyze the relationship between bitcoin price and major macroeconomic variables in Nigeria. The results from the multivariate VAR and the generated impulse response and variance decomposition indicate no strong statistically significant response of interest rate, inflation, and exchange rate to changes in bitcoin price. However, the study finds a positive relationship between the stock market index and money supply with bitcoin price. From the estimated Quantile regression technique, results indicate that the price of the prime crypto currency bitcoin has a positive relationship with money supply and exchange rate across all quantiles. Results also indicate the positive relationship between bitcoin and the rate of inflation at high quantiles. Furthermore, results indicate the importance of crypto currency in explaining interest rates in the country at only the low and high quantiles. The study concludes that crypto currencies have implications for macroeconomic variables such as exchange rate, money supply, interest rate and inflation in the country. As a result, the study recommends the need for regulatory clarity in the country to encapsulate envisaged impact on macroeconomic variables, so that Nigeria can reap the potential benefits from the novel asset class
Ibrahim Adekunle Alao (Sun,) studied this question.