Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic

【Author】 Jareno, Francisco; de la O Gonzalez, Maria; Lopez, Raquel; Rosa Ramos, Ana

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】This study explores potential non-linear and asymmetric interdependencies between oil price shocks and leading cryptocurrency returns. In addition, this research splits changes in crude oil prices into three relevant components: risk, demand, and supply shocks. By applying the NARDL methodology, this paper examines the connection between oil and cryptocurrencies in the period between November 20, 2018 and June 30, 2020, conducting a study of the first wave of the COVID-19 pandemic. Our results confirm that demand shocks show the greatest connection with the returns of the cryptocurrencies analysed. In addition, both short-term and longterm results show a greater interdependence between oil and cryptocurrencies in periods of economic turbulence, such as the SARS-CoV-2 coronavirus crisis.

【Keywords】Cryptocurrencies; NARDL; Crude oil prices; Bitcoin; COVID-19

【发表时间】2021 DEC

【收录时间】2022-01-01

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