The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach

This paper uses nonlinear autoregressive distributed lag approach (NARDL) to simultaneously test both long-run and short-run asymmetries between Bitcoin price and resource commodity futures price. The Wald tests support the asymmetric long-run relationship between Bitcoin price and resource commodity futures price. Nevertheless, the short-run asymmetry is only found in the case of gold futures and silver futures. The robustness tests show the specification of NARDL model is regarding to the time frequency of the data.

Automated summary

This study applies the NARDL approach to examine the long-run and short-run asymmetries between Bitcoin price and resource commodity futures price. The findings reveal an asymmetric long-run relationship between Bitcoin price and resource commodity futures price, with short-run asymmetry identified only in gold and silver futures. Robustness tests indicate that the specification of the NARDL model is influenced by the time frequency of the data.