期刊
RESOURCES POLICY
卷 74, 期 -, 页码 -出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.resourpol.2021.102281
关键词
Cryptocurrencies; NARDL; Crude oil prices; Bitcoin; COVID-19
资金
- Spanish Ministerio de Economia,Industria y Competitividad [ECO 2017-89715-P]
This study reveals that demand shocks have the strongest connection with the returns of cryptocurrencies analyzed, and there is a greater interdependence between oil and cryptocurrencies during periods of economic turbulence, such as the COVID-19 pandemic.
This study explores potential non-linear and asymmetric interdependencies between oil price shocks and leading cryptocurrency returns. In addition, this research splits changes in crude oil prices into three relevant components: risk, demand, and supply shocks. By applying the NARDL methodology, this paper examines the connection between oil and cryptocurrencies in the period between November 20, 2018 and June 30, 2020, conducting a study of the first wave of the COVID-19 pandemic. Our results confirm that demand shocks show the greatest connection with the returns of the cryptocurrencies analysed. In addition, both short-term and longterm results show a greater interdependence between oil and cryptocurrencies in periods of economic turbulence, such as the SARS-CoV-2 coronavirus crisis.
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