We investigate short- and long-term effects of U.S. economic policy uncertainty (EPU) on bitcoin, gold, and the implied US stock market volatility (VIX). We apply an autoregressive distributed lag model (ARDL) to monthly data. Our results suggest EPU significantly negatively (positively) impacts bitcoin over short (long) horizons. In contrast to the extant literature we find the magnitude of the effect of EPU on bitcoin returns weakens over longer horizons. Our empirical results provide a cautionary note for holders of asset portfolios that include bitcoin in their mix as a hedge against uncertainty.
Bu makalenin amacı kriptopara birimleri olarak da adlandırılan merkezi olmayan para birimleri olan Bitcoin Cash, Ethereum, Litecoin ve Ripple arasındaki ilişkilerin ortaya çıkarılmasıdır. Çalışmada üzerinde çalışılan dönem 03.08.2017 – 17.03.2020 tarihleri arasıdır. Çalışmada birim kök testi olarak Augmented Dickey-Fuller (ADF) testi uygulanarak serilerin durağan olduğu düzeyler saptanmış ve aralarındaki nedensellik ilişkisi Granger nedensellik testi ile sınanmıştır. Seriler arasındaki ilişkilerin yönü ve büyüklüğü, vektör otoregresif (VAR) model tekniğiyle belirlenmeye çalışılmıştır. Ayrıca, etki-tepki analizleri ve varyans ayrıştırma analizleri yapılarak serilerin standart sapmasında meydana gelen değişimin dönem bazında % kaçının diğer değişkenler tarafından açıklandığı ortaya konmuştur.
This study examined how the relationships among the fossil fuel, clean energy stock, gold, and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the price change risks in the fossil fuel markets. We applied the Bayesian Dynamic Conditional Correlation-Multivariate GARCH (DCC-MGARCH) models using US daily data from 2 January 2019 to 26 February 2021. Our results suggest that the fossil fuel (WTI crude oil and natural gas) and financial markets (clean energy stock, gold, and Bitcoin) generally had negative relationships in 2019 before the pandemic prevailed, but they became positive for a while in mid-2020, alternating between positive (0.8) and negative values (−0.8). As it is known that negative relationships are required among assets to hedge the risk of price changes, this implies that stakeholders need to be cautious in hedging the risk across the fossil fuel and financial markets when a crisis like COVID-19 occurs. However, our study also revealed that such negative relationships only lasted for three to six months, suggesting that the effects of the pandemic were short term and that stakeholders in the fossil fuel markets could cross hedge with the financial markets in the long term.
Bu çalışmada ekonomik politika belirsizliğinin (EPU) kripto paralar üzerindeki etkisi panel veri yöntemleriyle araştırılmaktadır. Bu amaç doğrultusunda öncelikle küresel ekonomik politika belirsizliği endeksi ve en büyük dört kripto paranın aylık verileri elde edilmiştir. Çalışmada kullanılan kripto paralar; Bitcoin (BTC), Ethereum (ETH), BinanceCoin (BNB) ve Ripple (XRP)’dir. 2018:01-2020:12 dönemine ait verilerin kullanıldığı çalışmada, yatay kesit bağımlılığı ve homojenlik testleri gerçekleştirilmiştir. Daha sonra Kónya (2006) tarafından önerilen bootstrap panel nedensellik testi uygulanmıştır. Dört kripto paradan ilk sırada yer alan Bitcoin ile EPU arasında çift yönlü nedensellik ilişkisi bulunurken, son sırada bulunan XRP için herhangi bir nedensellik ilişkisine rastlanamamıştır. İkinci ve üçüncü sıradaki kripto paralarda ise EPU’dan bu paralara doğru tek yönlü nedensellik ilişkisi olduğu görülmüştür. Çalışmadan elde edilen bulgular, ekonomik politika belirsizliğinin kripto paraların değerleri üzerinde etkisi olabileceğini göstermektedir.
This paper deciphers the correlation of volatility between Bitcoin, stock and gold, in the context of uncertainty. The wavelet analysis results indicate that the selected assets are primarily positively correlated with each other, specifically in periods when the economic policy uncertainty (EPU) is high. Furthermore, the logit regression confirms that the EPU and categorial EPU indices have heterogeneous effects on the interdependence between Bitcoin, the S&P 500 and gold. Therefore, our findings provide insights for policy-makers to reduce the adverse impact of uncertainty on financial asset volatility.
The rationality and scientific nature of the emission trading mechanism is the key to the effective implementation of environmental and economic policies. As far as China is concerned, there are phenomena such as information asymmetry, low supervision efficiency, and alienation of government and enterprise behaviors caused by the incomplete mechanism of emission trading in the practice of different pilots. The introduction of blockchain technology can innovate the traditional transaction model and form a decentralized peer-to-peer transaction and a trusted emission trading market. To this end, based on the current emission trading mechanism and the characteristics of blockchain technology, this paper couples the core technologies of blockchain with the functional requirements of application scenarios. Then, an innovative application framework is built based on the consortium blockchain Fabric from three aspects: emission trading supervision, secondary trading market construction, as well as emission trading incentive and punishment mechanisms. Technologies such as the consensus mechanism, smart contract, Merkle tree and asymmetric encryption are comprehensively applied in this process. In the construction of the blockchain framework of the secondary market for emission trading, institutional changes and innovations brought about by the blockchain at various levels are analyzed in terms of participants, transaction processes and the transaction scope. At the same time, smart contract functions and algorithms are designed for the purchase, transfer-out and trading of emission rights, and the operation business logic of the smart contract is analyzed. On the whole, this paper explores the application framework of blockchain technology in the field of emission trading at the macro level, and analyzes the application mechanism of the corresponding technologies of blockchain at each coupling point in the framework at the micro level. The collaborative analysis at the two levels shows that blockchain technology and the requirements of emission trading mechanism can be effectively coupled, and the application of blockchain technology can promote the effective supervision of enterprises' emission behavior, making the processes of the purchase, transfer and transaction of emission rights intelligent and automated, and providing technical support for cross-regional emission trading to reduce transaction costs and management complexity. In addition, the issuance of emission credits based on smart contract will be a new incentive for companies to actively participate in transactions. Based on the above analysis, this paper believes that the innovative application of blockchain technology is of great significance in the promotion of the market-based allocation of element of emission trading and the rational allocation of environmental resources. It will lead to a major breakthrough in the traditional trading system in terms of trading modes, forming a value transmission network of environmental resources between the government and polluters.
Abstract Following the systematic review and bibliometric analysis of current literature, this paper attempts to investigate whether the wealth generated through cryptocurrency trading can assist in attaining the United Nations' (UN) sustainable development goal (SDG) 7, affordable and clean energy and UN SDG 13 related to climate action. The critical analysis of literature indicates a growing interest in cryptocurrency, the UN's SDGs and the negative effect that crypto mining has on the use of enormous energy. However, there is a clear gap in the literature that focuses on the possibility of using the wealth generated through cryptocurrency trading in financing environmentally friendly projects and attaining the UN's SDG 7 and SDG 13. The findings and the future research direction of this study aim to firstly expand the academic literature related to SDG 7 and SDG 13 and secondly to examine the relationship between cryptocurrency and sustainability even during an uncertain period. This study provides evidence pertaining to the theoretical models that can be applied within discussion of the complex relationship between cryptocurrency, clean energy and climate action. Our findings will provide policymakers with information regarding actions that need to be taken in order to convert cryptocurrency generated wealth and consequently attaining sustainable socio‐economic goals in the future.
The pandemic of coronavirus (COVID-19) creates fear and uncertainty causing extraordinary disruption to financial markets and global economy. Witnessing the fastest selloff in the American stock market in history with a plunge of more than 28% in S&P 500 has increased the volatility of global financial market to exceed the level observed during the financial crisis of 2008. On the other hand, Bitcoin value has shown considerable stability in the last couple of months peaking at $10,367.53 in the mid of February 2020. In this context, the aim of this paper is to investigate the impact of COVID-19 numbers on Bitcoin price taking into consideration number of controlling variables including WTI-oil price, S&P 500 index, financial market volatility, gold prices, and economic policy uncertainty of the US. To do so, ARDL estimation has been applied using daily data from December 31, 2019 till May 20, 2020. Key findings reveal that the daily reported cases of new infections have a marginal positive impact on Bitcoin price in the long term. However, the indirect impact associated with the fear of COVID-19 pandemic via financial market stress cannot be neglected. Bitcoin can also serve as a hedging tool against the economic policy uncertainty in the long term. In the short run, while the returns of economic policy uncertainty have no impact on Bitcoin price, the growth in the new cases of COVID-19 infection and returns of financial market volatility have more positive significant impact on Bitcoin returns.
As an important way to reduce emission, forestry carbon sink (FCS) has not been implemented effectively. Therefore, this paper aims to analyze the effectiveness and mechanism of applying blockchain technology in FCS projects by utilizing the differential game model. A Stackelberg differential game model between forest farmers and emission-controlled enterprises (ECEs) is developed to analyze the optimal emission reduction efforts and the optimal trajectory of forest farmers and ECEs before and after introducing blockchain technology. It is found that: (1) At the initial stage of the utilization of blockchain technology, if blockchain technology takes a leading role in stabilizing carbon prices, the ECEs prefer to purchase FCS instead of reducing emissions by their own technology. On the contrary, if blockchain technology takes a leading role in stimulating the vitality of the carbon trading market, ECEs tend to use emission abatement technology to meet the carbon quote requirements. (2) In the later stage, the incentive and stabilizing effects of blockchain technology on carbon prices tend to be balanced, and the emission reduction efforts of ECEs are lower than the efforts before applying blockchain technology. (3) The application of blockchain technology increases forest farmers’ willingness to reduce emissions because of its effection of cost reduction and efficiency improvement. Meanwhile, blockchain technology reduces abatement costs by influencing carbon prices. Therefore, blockchain technology improves forest farmers’ emission reduction efforts on the whole.
Sinan Erdoğan, Maruf Yakubu Ahmed, Samuel Asumadu Sarkodie
Abstract When Bitcoin (BTC), the first pioneering cryptocurrency was released in 2009, it was considered as an apolitical currency. Besides, the possible effect of BTC and other cryptocurrencies on either financial markets or transactions has been widely discussed. However, the environmental effects of cryptocurrency demand have been ignored. Here, this study examines the nexus between cryptocurrencies and environmental degradation by employing standard and asymmetric causality methods. The Toda-Yamamoto and bootstrap-augmented Toda-Yamamoto test results reveal Bitcoin and Ethereum (ETH) excluding Ripple (XRP) have causal effects on environmental degradation. The Fourier-augmented Toda-Yamamoto test results show causal effects running from Bitcoin and Ripple to environmental degradation, whereas no causal effect runs from Ethereum to environmental degradation. The asymmetric causality shows causal effects from the positive shock of Bitcoin demand, negative shocks of Ripple and Ethereum demands to positive shocks of environmental degradation. Further discussions and policy implications are provided in the relevant sections of this study.
Purpose This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU) index. Design/methodology/approach The authors use a wavelet approach and a quantile-on-quantile regression (QQR) method. Findings The results show a positive interdependence between BTC and commodity price returns at both medium and low frequencies over the sample period. In contrast, the dependence is negative between BTC and EPU index at both medium and low frequencies. Furthermore, the co-movements between markets are more pronounced during crises. The results show that strategic commodities and EPU index have the ability to predict BTC price returns at both medium- and long-terms. The QQR method reveals that higher gold returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. Moreover, lower gold returns tend to predict lower (higher) BTC returns when the market is in a bearish (bullish) state (positive (negative) relationship). The lower Brent returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. High Brent quantiles tend to predict the lower BTC returns in its extremely bearish states. Finally, higher and lower EPU changes tend to predict lower and higher BTC returns when the market is in a bearish/bullish state (negative relationship). Originality/value There is generally a lack of understanding of the linkages between BTC, gold, oil and uncertainty index across multiple frequencies. This is, as far as the authors know, the first attempt to apply both the wavelet approach and a QQR method to examine the multiscale linkages among markets under study. The findings should encourage the relevant policymakers to consider these co-movements which vary over time and in duration when setting up regulations that deem to enhance the market efficiency.
The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020–3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger causality methods to obtain the dependence result. The continuous wavelet transform (CWT) analysis reveals that the United States equity market prices are extremely sensitive with regard to spreading coronavirus (USCOVID-19) news and changes in the oil price. Green bonds, gold, and bitcoin have minimal connectedness with the equity market, which might lead to the hedge and safe haven role of these assets during the COVID-19 crisis period. Lastly, very strong comovement was found between bitcoin and gold during the entire sample. The results of the present study offer a number of fresh and noticeable policy implications for international investors and asset managers.
In this study, we compare the role and the safe-haven properties of bitcoin and gold against developed and emerging market indices during extreme market conditions as the COVID-19 crisis. We explore the effects of adding bitcoin and gold to an optimal portfolio by relying Sharpe ratio and genetic algorithm approach. We use a stochastic dominance approach to compare the performance of portfolios for each scenario. The results show that by adding bitcoin, the portfolio performance improves only during the sovereign debt crisis. However, during the non-crisis period and during the COVID-19 crisis, the portfolios with and without bitcoin do not dominate, this shows that bitcoin does not act as a safe-haven. However, our results affirm the safe-haven nature of gold during the COVID-19 crisis.
Over the last decade, Bitcoin has attracted a great deal of public interest and Bitcoin market has grown rapidly. One of the main characteristics of the market is that it often undergoes some events or incidents that cause outlying observations. To obtain reliable results in the statistical analysis of Bitcoin data, these outlying observations need to be carefully treated. In this study, we are interested in change point analysis for Bitcoin return series having such outlying observations. Since these outlying observations can affect change point analysis undesirably, we use a robust test for parameter change to locate change points. We report some significant change points that are not detected by the existing tests and demonstrate that the model allowing for parameter changes is better fitted to the data. Finally, we show that the model with parameter change can improve the forecasting performance of Value-at-Risk.
Khreshna Syuhada, Djoko Suprijanto, Arief Rachman Hakim
This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin's safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin's small allocation only.
By using high-frequency data, we examine the volatility linkages patterns between gold and several important asset classes including foreign currency, US equity, oil, bitcoin and agriculture commodity in the period surrounding the COVID-19 pandemic. To this end, we use the cross-wavelet power transform, the cross-wavelet coherency and the dynamic frequency-domain connectedness. We find that the pandemic caused a greater positive association in volatility series between gold and each of the financial assets considered. We document clear findings of phase difference of lead-lag volatility interdependence between gold and the financial assets that varies according to timescales and periods. In general, the long-term connections are strengthened during the pandemic except the case of bitcoin and soya bean suggesting a long-term diversification ability when including them in a portfolio containing gold.