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

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, thi...

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Detalles Bibliográficos
Autores principales: Jareño, Francisco, González, María de la O., López, Raquel, Ramos, Ana Rosa
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier Ltd. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8507580/
https://www.ncbi.nlm.nih.gov/pubmed/34658484
http://dx.doi.org/10.1016/j.resourpol.2021.102281
Descripción
Sumario: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 long-term results show a greater interdependence between oil and cryptocurrencies in periods of economic turbulence, such as the SARS-CoV-2 coronavirus crisis.

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