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Testing for Nonlinear Granger Causality Between Bitcoin Market and Crude Oil Market

In: Ieis 2023

Author

Listed:
  • Fang Wang

    (Beijing Laboratory of National Economic Security Early-warning Engineering Beijing Jiaotong University)

  • Menggang Li

    (Beijing Laboratory of National Economic Security Early-warning Engineering Beijing Jiaotong University)

Abstract

This paper investigates the causality between bitcoin market and WTI crude oil market through multi-scale analysis and causality testing. The complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) method is employed to decompose the two price series at different time-scales. In causality testing, a nonlinear Granger causality test is formulated to investigate the relationship among each pair of matched components. And we also divide the information components of different series into high-frequency components, low-frequency components and long-term trend according to the Fine-to-coarse reconstruction. In the end, a set of hypothetical scenarios are created and a statistical test for causality is performed.

Suggested Citation

  • Fang Wang & Menggang Li, 2024. "Testing for Nonlinear Granger Causality Between Bitcoin Market and Crude Oil Market," Lecture Notes in Operations Research, in: Menggang Li & Hua Guowei & Anqiang Huang & Xiaowen Fu & Dan Chang (ed.), Ieis 2023, pages 36-45, Springer.
    • Handle: RePEc:spr:lnopch:978-981-97-4137-3_4
    DOI: 10.1007/978-981-97-4137-3_4
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