Jareño Francisco, González María de la O, López Raquel, Ramos Ana Rosa
Faculty of Economic and Business Sciences, University of Castilla-La Mancha, Albacete, Spain.
Resour Policy. 2021 Dec;74:102281. doi: 10.1016/j.resourpol.2021.102281. Epub 2021 Aug 2.
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.
本研究探讨了油价冲击与主要加密货币回报之间潜在的非线性和非对称相互依存关系。此外，本研究将原油价格变化分为三个相关组成部分：风险、需求和供应冲击。通过应用非对称自回归分布滞后（NARDL）方法，本文考察了2018年11月20日至2020年6月30日期间石油与加密货币之间的联系，该时段正值新冠疫情第一波期间。我们的结果证实，需求冲击与所分析的加密货币回报显示出最大的关联。此外，短期和长期结果均表明，在经济动荡时期，如严重急性呼吸综合征冠状病毒2（SARS-CoV-2）冠状病毒危机期间，石油与加密货币之间存在更大的相互依存关系。
