期刊
RESOURCES POLICY
卷 74, 期 -, 页码 -出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.resourpol.2021.102416
关键词
STECM; Bitcoin; Portfolio management
This study investigates the dynamic relationships between Bitcoin, Oil, Natural Gas, Gold, and Coal over the period 2011-2018. The results show significant long-term equilibrium links between them. Bitcoin exhibits asymmetric and nonlinear behavior in the adjustment process. Gold and Oil prices significantly influence Bitcoin prices, and current Bitcoin prices have a significant impact on their past prices, suggesting symmetric memory effects over time.
This paper investigates the dynamic relationships between Bitcoin, Oil, Natural Gas, Gold and Coal in the short-and long-run over the period 2011-2018. For this end, we use a Smooth Transition Error Correction Model (STECM) to accommodate the presence of some stylized facts (the nonlinearity and asymmetry) in the adjustment process of Bitcoin towards their long-run equilibrium. We show significant long-run equilibrium links for Bitcoin, which seems to be asymmetric and nonlinear. Gold and Oil Brent Crude logarithmic prices potentially and significantly influence the Bitcoin logarithmic prices. Our empirical results also indicate that the current Bitcoin logarithmic prices have a significant and positive impact on their lagged values for both regimes, implying some symmetric memory effects over time. Such analysis of the interlinkages between different assets could be interesting from investment and academic perspectives.
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