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Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model

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  • Moussa, Wajdi
  • Mgadmi, Nidhal
  • Béjaoui, Azza
  • Regaieg, Rym

Abstract

This paper investigates the dynamic relationships between Bitcoin, Oil, Natural Gas, Gold and Coal in the short- and long-run over the period 2011–2018. For this end, we use a Smooth Transition Error Correction Model (STECM) to accommodate the presence of some stylized facts (the nonlinearity and asymmetry) in the adjustment process of Bitcoin towards their long-run equilibrium. We show significant long-run equilibrium links for Bitcoin, which seems to be asymmetric and nonlinear. Gold and Oil Brent Crude logarithmic prices potentially and significantly influence the Bitcoin logarithmic prices. Our empirical results also indicate that the current Bitcoin logarithmic prices have a significant and positive impact on their lagged values for both regimes, implying some symmetric memory effects over time. Such analysis of the interlinkages between different assets could be interesting from investment and academic perspectives.

Suggested Citation

  • Moussa, Wajdi & Mgadmi, Nidhal & Béjaoui, Azza & Regaieg, Rym, 2021. "Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004256
    DOI: 10.1016/j.resourpol.2021.102416
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    Cited by:

    1. Nurkhodzha Akbulaev & Tural Abdulhasanov, 2023. "Analyzing the Connection between Energy Prices and Cryptocurrency throughout the Pandemic Period," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 227-234, January.
    2. Clement Moyo & Izunna Anyikwa & Andrew Phiri, 2023. "The Impact of Covid-19 on Oil Market Returns: Has Market Efficiency Being Violated?," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 118-127, January.
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    More about this item

    Keywords

    STECM; Bitcoin; Portfolio management;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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