Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?

Abstract

PurposeThis paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018.Design/methodology/approachTo assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018.FindingsThe authors’ results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises.Originality/valueThis study is a crucial topic for policymakers and portfolio risk managers.

The effect of global price movements on the energy sector commodity on bitcoin price movement during the COVID-19 pandemic

“…His research stated that Natural Gas influences Bitcoin because the Bitcoin mining process depends on the energy itself. The results of this study also support the results of research conducted by Derbali et al. (2020) .…”

“…The Natural Gas Market is believed to have the ability to influence the Bitcoin market because the Bitcoin mining process relies heavily on energy. Derbali et al. (2020) also found a solid and significant dynamic conditional correlation between Bitcoin and the energy commodity market, where one of the energy commodities is Natural Gas.…”

COVID-19 news in USA and in China: which is suitable in explaining the nexus among Bitcoin and Gold?

“…One thinkable clarification is that delivered the important and significant influence of American economy on the world economy, the news linked to the changes in COVID-19 confirmed cases surprises in the USA may considerably and significantly affect foreign economic basics and therefore the estimated volatility of Gold and cryptocurrencies markets. Additionally, the considerable influence of the COVID-19 confirmed cases surprises in the USA in international financial Then, we demonstrate an important potential clarification which proves that such persistence gets alongside with the phenomena of financialization of international financial stock market of metal and cryptocurrencies indices and the recent health crisis, such as BTC and Gold and COVID-19 (Creti et al, 2013;Chebbi and Derbali, 2015;Derbali, 2016a, 2016b;Derbali and Jouini, 2019;Derbali and Bouzgarrou, 2020;Derbali et al, 2020a;Derbali et al, 2020b). Finally, our empirical outcomes of this article highlight the significance of employing the specification of GARCH-DCC (1,1) in validating the time-varying dynamic connection among BTC and Gold in the existence of health crisis (COVID-19).…”

Does Environmental Degradation-Led Remittances Flow? Nexus between Environmental Degradation, Uncertainty, Financial Inclusion and Remittances Inflows in India and China

“…At the same time, other research shows that price instability reduces foreign remittances (Macroeconomic instability, i.e., high inflation promotes migration, which boosts foreign remittances, while other research shows that price instability reduces foreign remittances (Shahbaz et al, 2009). A change in the actual exchange rate also hurts remittances, whereas devaluation of the local currency increases remittances, it may also decrease immigrants' trust in their home country (Bouhga-Hagbe, 2006;Derbali et al, 2020a;Derbali et al, 2020b). Remittances may also be blocked by limitations on exchange rates and black market charges in the nation of origin.…”