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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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
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author Jareño, Francisco
González, María de la O.
López, Raquel
Ramos, Ana Rosa
author_facet Jareño, Francisco
González, María de la O.
López, Raquel
Ramos, Ana Rosa
author_sort Jareño, Francisco
collection PubMed
description 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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spelling pubmed-85075802021-10-13 Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic Jareño, Francisco González, María de la O. López, Raquel Ramos, Ana Rosa Resour Policy Article 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. The Authors. Published by Elsevier Ltd. 2021-12 2021-08-02 /pmc/articles/PMC8507580/ /pubmed/34658484 http://dx.doi.org/10.1016/j.resourpol.2021.102281 Text en © 2021 The Authors Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Jareño, Francisco
González, María de la O.
López, Raquel
Ramos, Ana Rosa
Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
title Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
title_full Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
title_fullStr Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
title_full_unstemmed Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
title_short Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
title_sort cryptocurrencies and oil price shocks: a nardl analysis in the covid-19 pandemic
topic Article
url 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
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