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The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach

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  • Lin, Mei-Yin
  • An, Che-Lun

Abstract

This paper uses nonlinear autoregressive distributed lag approach (NARDL) to simultaneously test both long-run and short-run asymmetries between Bitcoin price and resource commodity futures price. The Wald tests support the asymmetric long-run relationship between Bitcoin price and resource commodity futures price. Nevertheless, the short-run asymmetry is only found in the case of gold futures and silver futures. The robustness tests show the specification of NARDL model is regarding to the time frequency of the data.

Suggested Citation

  • Lin, Mei-Yin & An, Che-Lun, 2021. "The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003925
    DOI: 10.1016/j.resourpol.2021.102383
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