Macro-Financial Parameters Influencing Bitcoin Prices: Evidence from Symmetric and Asymmetric ARDL Models

【Author】 Srinivasan, P.; Maity, Bipasha; Kumar, K. Krishna

【Source】REVIEW OF ECONOMIC ANALYSIS

【影响因子】0.000

【Abstract】Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL) models with structural breaks. The asymmetric long-run association ascertained between Bitcoin prices and the macroeconomic-financial indicators is evident. Our empirical results indicate that the Bitcoin cannot be used to hedge against the inflation, Federal funds rate, stock markets and commodity markets. We further find that Bitcoin can be regarded as a hedging device for the oil prices. Our findings have significant implications for market participants who consider including alternate investment assets in their portfolios.

【Keywords】Bitcoin; hedging asset; macro-financial parameters; symmetric and asymmetric ARDL models

【发表时间】2022

【收录时间】2022-02-03

【文献类型】期刊

【主题类别】

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