Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model

Moussa, Wajdi; Mgadmi, Nidhal; Béjaoui, Azza; Regaieg, Rym

doi:10.1016/j.resourpol.2021.102416

Cited by 11 publications

(4 citation statements)

References 38 publications

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“…In addition, there is a growing body of literature on the relationships between Bitcoin and fossil fuel markets. For example, Moussa et al [23] investigate their relationship in a dynamic aspect from the short and long run over the period 2011-2018 using STECM approach. The study reveals that the impact of Bitcoin on fossil fuel lagged values is positive, while Rehman and Kang [24] employ MODWT approach to test their time-frequency co-movement and causality relationship to suggest that while both oil and gas have a significant co-movement with the Bitcoin returns, it no longer exhibits a co-movement when the effect of coal market is considered.…”

Section: Previous Researchmentioning

confidence: 99%

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

Tang

Aruga

2021

Sustainability

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This study examined how the relationships among the fossil fuel, clean energy stock, gold, and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the price change risks in the fossil fuel markets. We applied the Bayesian Dynamic Conditional Correlation-Multivariate GARCH (DCC-MGARCH) models using US daily data from 2 January 2019 to 26 February 2021. Our results suggest that the fossil fuel (WTI crude oil and natural gas) and financial markets (clean energy stock, gold, and Bitcoin) generally had negative relationships in 2019 before the pandemic prevailed, but they became positive for a while in mid-2020, alternating between positive (0.8) and negative values (−0.8). As it is known that negative relationships are required among assets to hedge the risk of price changes, this implies that stakeholders need to be cautious in hedging the risk across the fossil fuel and financial markets when a crisis like COVID-19 occurs. However, our study also revealed that such negative relationships only lasted for three to six months, suggesting that the effects of the pandemic were short term and that stakeholders in the fossil fuel markets could cross hedge with the financial markets in the long term.

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Section: Previous Researchmentioning

confidence: 99%

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

Tang

Aruga

2021

Sustainability

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“…They concluded bi-directional shock transmission effects between Bitcoin and both Ether and Litecoin, and unidirectional shock spillovers from Ether to Litecoin. Moussa et al (2021) used the STECM model to approve an relationship between Bitcoin and some commodities like Gold and Crude Oil Brent, as the logarithmic prices have a significant influence on the Bitcoin logarithmic prices. The sharp fluctuations in the price of Bitcoin are noticeable on the prices of Brent crude oil by the Bayesian VAR model and generalized impulse response functions (Kaabia et al, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Cryptocurrency energy consumption: Analysis, global trends and interaction

Bublyk,

Borzenko,

Hlazova

2023

Environmental Economics

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The rapid spread of cryptocurrencies is one of the most relevant trends today. One of the significant risks of their spread is the increase in energy consumption, which has a negative impact on the environment due to carbon emissions. This requires the development of a scientific toolkit for assessing relationships and predicting the impact of cryptocurrencies on energy consumption, which is the aim of this paper.With the correlational regression analysis, the model of the dependence of spending on IT sector, energy consumption of Bitcoin, Ethereum and global capitalization of the cryptocurrency market was conducted, based on statistical data from Statista.com, Сoinmarketcap.com and International Data Corporation. To check the possible relationship, tests for the adequacy of the results obtained (Fisher’s test, Student’s t-test) confirmed the correctness of coefficients for independent variables.The results showed a significant direct correlation (Multiple R is 95%) of spending on IT sector, energy consumption and global capitalization of the cryptocurrency market. The established relationships allowed predicting that Bitcoin energy consumption may reach 142 Terawatt hours per year in 2026. And its impact on environment by mining in 2022 was at least 27.4 Mt of CO2 emission.As a proposal, a conclusion was made on the expediency of linking mining to the use of certain sources of electricity production, such as “residual” natural gas, nuclear power, renewable energy sources. The obtained results and conclusions may be used as a basis for political decisions in the field of energy efficiency and climate change mitigation.

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“…Assuming that information about returns and volatility in one financial market is rapidly transmitted to other markets via various channels (Wang, Shao, & Kim, 2020; Wang, Zhang, et al., 2020), the first hypothesis assumes that updated information about returns and volatility in other markets influences them, and vice versa. While no previous research specifically examined the dynamic connections between BTC and agricultural commodity markets, previous studies have found positive connections between BTC and other commodity markets (e.g., Lin & An, 2021; Moussa et al., 2021; Rehman & Kang, 2021). The second hypothesis is that contagion effects are typically found during periods of market stress and uncertainty (e.g., COVID‐19 and 2022 Russia–Ukraine war) (Corbet et al., 2021; Ha, 2022; Yarovaya et al., 2022).…”

Section: Introductionmentioning

confidence: 99%

The Bitcoin‐agricultural commodities nexus: Fresh insight from COVID‐19 and 2022 Russia–Ukraine war

Zeng,

Ahmed,

2024

Aus J Agri & Res Econ

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This paper investigates the volatility connectedness and dynamic time–frequency relationship between Bitcoin (BTC) and 15 major agricultural commodity markets during the COVID‐19 and 2022 Russia–Ukraine war periods. We employ the TVP‐VAR‐based extended joint connectedness method, minimum connectedness investment portfolio, and wavelet coherence (WC) method. The results indicate that the sudden outbreaks of the two crises brought about increased volatility connectedness between BTC and agricultural commodity markets. Throughout the entire sample period, BTC remained a net transmitter of volatility. Moreover, in terms of the total connectedness index (TCI), the overall volatility correlation surged rapidly after the outbreak of COVID‐19 and the 2022 Russia–Ukraine war. The portfolio results demonstrated that BTC exhibited a low correlation with the agricultural commodity markets, suggesting diversification potential. Additionally, only Feeder Cattle served as an effective hedging asset for BTC throughout all periods. The WC analysis confirmed that during the COVID‐19 period and the 2022 Russia–Ukraine war, most of the linkages were primarily concentrated at medium‐ to long‐term frequencies. Our analysis will contribute to a deeper understanding of the interconnection between these markets, enabling market participants to consider risk mitigation measures and support portfolio diversification when formulating policies and regulations involving relevant markets in the future.

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Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model

Cited by 11 publications

References 38 publications

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

Cryptocurrency energy consumption: Analysis, global trends and interaction

The Bitcoin‐agricultural commodities nexus: Fresh insight from COVID‐19 and 2022 Russia–Ukraine war

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