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Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?

Author

Listed:
  • Abdelkader Derbali
  • Lamia Jamel
  • Monia Ben Ltaifa
  • Ahmed K. Elnagar
  • Ali Lamouchi

Abstract

Purpose - This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018. Design/methodology/approach - To assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018. Findings - The authors’ results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises. Originality/value - This study is a crucial topic for policymakers and portfolio risk managers.

Suggested Citation

  • Abdelkader Derbali & Lamia Jamel & Monia Ben Ltaifa & Ahmed K. Elnagar & Ali Lamouchi, 2020. "Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 4(1), pages 77-102, August.
    • Handle: RePEc:eme:jcmspp:jcms-07-2020-0022
    DOI: 10.1108/JCMS-07-2020-0022
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    Citations

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    Cited by:

    1. Md. Qamruzzaman, 2023. "Does Environmental Degradation-Led Remittances Flow? Nexus between Environmental Degradation, Uncertainty, Financial Inclusion and Remittances Inflows in India and China," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 9-26, March.
    2. Huan Huu Nguyen & Thanh Phuc Nguyen & Anh Nguyen Tram Tran, 2022. "Impacts of monetary policy transmission on bank performance and risk in the Vietnamese market: Does the Covid-19 pandemic matter?," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2094591-209, December.
    3. Zdravka Aljinoviæ & Tea Šestanoviæ & Blanka Škrabiæ Periæ, 2022. "A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(7-8), pages 603-621, July.

    More about this item

    Keywords

    DCC; Bitcoin; Energy commodities; Monetary policy surprises; E52; E63; O13; Q02;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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