Harbor in the storm: How Bitcoin navigates challenges of climate change and global uncertainties
- Li, HJ; Luo, FY; Guo, LL
- 2024
- 点赞
- 收藏
【Author】 Li, Houjian; Luo, Fangyuan; Guo, Lili
【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
【影响因子】3.399
【Abstract】Understanding Bitcoin's (BTC) performance and hedging effects under various uncertainties is crucial. This study combines time-varying Granger causality (TVGC) tests and wavelet timevarying parameter vector autoregression (TVP-VAR) methods to examine the relationship between Bitcoin (BTC) and climate uncertainty (SOI), geopolitical risk (GPR), economic policy uncertainty (EPU), crude oil volatility (OVX), and market volatility (VIX) across both time and frequency domains, from December 19, 2017, to October 16, 2023. The results show that in recent years, the long-term impact of SOI on BTC, as well as political and economic uncertainties, is hard to ignore, but BTC cannot serve as a safe-haven asset against SOI. Wavelet decomposition indicates that during extreme events, BTC exhibits a leading positive co-movement with EPU, GPR, VIX, and OVX in the long term, showing potential as a hedging asset. However, TVGC and wavelet decomposition spillover results further suggest that BTC's hedging capacity against different economic and political uncertainties may be limited during certain extreme events.
【Keywords】Climate change; BTC; The wavelet TVP-VAR; Time-varying granger causality test
【发表时间】2024 NOV
【收录时间】2024-10-26
【文献类型】实证数据
【主题类别】
区块链治理-市场治理-市场分析
评论