Dynamic frequency relationships between bitcoin, oil, gold and economic policy uncertainty index

Abstract

Purpose This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU) index. Design/methodology/approach The authors use a wavelet approach and a quantile-on-quantile regression (QQR) method. Findings The results show a positive interdependence between BTC and commodity price returns at both medium and low frequencies over the sample period. In contrast, the dependence is negative between BTC and EPU index at both medium and low frequencies. Furthermore, the co-movements between markets are more pronounced during crises. The results show that strategic commodities and EPU index have the ability to predict BTC price returns at both medium- and long-terms. The QQR method reveals that higher gold returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. Moreover, lower gold returns tend to predict lower (higher) BTC returns when the market is in a bearish (bullish) state (positive (negative) relationship). The lower Brent returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. High Brent quantiles tend to predict the lower BTC returns in its extremely bearish states. Finally, higher and lower EPU changes tend to predict lower and higher BTC returns when the market is in a bearish/bullish state (negative relationship). Originality/value There is generally a lack of understanding of the linkages between BTC, gold, oil and uncertainty index across multiple frequencies. This is, as far as the authors know, the first attempt to apply both the wavelet approach and a QQR method to examine the multiscale linkages among markets under study. The findings should encourage the relevant policymakers to consider these co-movements which vary over time and in duration when setting up regulations that deem to enhance the market efficiency.

Exploring the Asymmetric Effects of Economic Policy Uncertainty and Implied Volatilities on Energy Futures Returns: Novel Insights From Quantile-on-Quantile Regression

“…The asymmetric interrelations between financial markets have been underscored (Agyei et al, 2022a(Agyei et al, , 2022bAsafo-Adjei et al, 2021b;Hazgui et al, 2021;Roy & Sinha Roy, 2022;Shah & Dar, 2022;Umar et al, 2019) but from the emerging strand of works on commodity markets, the asymmetric relationships between uncertainty indices and commodity markets across bullish, bearish, and normal market conditions are yet to be documented. We provide this evidence among energy markets, which have seen huge investments in recent periods and have taken a leading role among other commodity classes.…”

Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability

“…Dynamic frequency relationships between Bitcoin, oil, gold and economic policy uncertainty index was further analyzed [59]. Its goal was to explore how often and in what ways BTC, gold, Brent crude oil and the U.S. Economic Policy Uncertainty (EPU) index move together and depend on each other asymmetrically.…”

The Russia-Ukraine conflict, crude oil prices, and electronic cryptocurrency market fluctuations

“…Ethereum, Ripple, and bitcoin cash all suffered losses that were roughly twice as large. One of the study findings reveal that Bitcoin is influenced by both the crude oil price and the gold price, and that price rises in both factors generate an increase in Bitcoin prices, but some study only reflected the relationship at that time, it possibly be less accurate in the different point of time [12].…”