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

This paper investigates the dynamic relationships between Bitcoin, Oil, Natural Gas, Gold and Coal in the short- and long-run over the period 2011–2018. For this end, we use a Smooth Transition Error Correction Model (STECM) to accommodate the presence of some stylized facts (the nonlinearity and as...

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Bibliographic Details
Published in:Resources policy 2021-12, Vol.74, p.102416, Article 102416
Main Authors: Moussa, Wajdi, Mgadmi, Nidhal, Béjaoui, Azza, Regaieg, Rym
Format: Article
Language:English
Subjects:
Asymmetry
Bitcoin
Coal
Digital currencies
Empirical analysis
Equilibrium
Error correction
Gold
Natural gas
Nonlinearity
Petroleum
Portfolio management
Prices
STECM
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Summary:This paper investigates the dynamic relationships between Bitcoin, Oil, Natural Gas, Gold and Coal in the short- and long-run over the period 2011–2018. For this end, we use a Smooth Transition Error Correction Model (STECM) to accommodate the presence of some stylized facts (the nonlinearity and asymmetry) in the adjustment process of Bitcoin towards their long-run equilibrium. We show significant long-run equilibrium links for Bitcoin, which seems to be asymmetric and nonlinear. Gold and Oil Brent Crude logarithmic prices potentially and significantly influence the Bitcoin logarithmic prices. Our empirical results also indicate that the current Bitcoin logarithmic prices have a significant and positive impact on their lagged values for both regimes, implying some symmetric memory effects over time. Such analysis of the interlinkages between different assets could be interesting from investment and academic perspectives. •The dynamic relationships between Bitcoin, Oil, Natural Gas, Gold and Coal in the short- and long-run are well-documented.•Gold and Oil Brent Crude affect Bitcoin.•The current Bitcoin logarithmic prices have a significant and positive effect on their lagged values for both regimes.
ISSN:0301-4207
1873-7641
DOI:10.1016/j.resourpol.2021.102416