The dynamics of bonds, commodities and bitcoin based on NARDL approach

IF 2.9 3区 经济学 Q1 ECONOMICS
Ahmed Bouteska , M. Kabir Hassan , Mamunur Rashid , Mehmet Hüseyin Bilgin
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Abstract

Asset market dynamic interconnectedness poses significant challenges to investors, fund managers, and policymakers, particularly in periods of prolonged uncertainty and economic crisis. This study investigates the asymmetric connection between the Bitcoin, gold, and oil markets and the bond markets in the United States, Australia, China, and the European Union. The study employed nonlinear autoregressive distributed lag (NARDL) on data ranging from January 1, 2017, to January 26, 2023, that accounted for the COVID-19 pandemic period and the Russian-Ukraine war. The results indicate that a fall in the Bitcoin price leads to a rise in bond prices, most profoundly in the European Union, where a 1% rise in the Bitcoin price leads to a 0.032% fall in bond prices. Similarly, the oil price index indicated a negative asymmetric shock in bond prices, with the most profound rise in the US bond market. The gold market index exhibited a positive connection to the bond market (US bond market falls by 0.476%) as the market overreacts to a fall in prices rather than a rise, and often in the long run rather than the short run, except for Bitcoin. The Bitcoin and oil markets act as strong safe-havens, while gold plays the role of a weak hedge during the pandemic and the Russia-Ukraine war. While our results are consistent over multiplier impact and stability tests, fund managers may find these significant due to the involvement of Russia and Ukraine as the two largest producers and exporters of several important commodities and energy. We discuss practical implications of our findings.

基于 NARDL 方法的债券、商品和比特币的动态变化
资产市场的动态关联性给投资者、基金经理和政策制定者带来了重大挑战,尤其是在长期不确定性和经济危机时期。本研究调查了美国、澳大利亚、中国和欧盟的比特币、黄金和石油市场与债券市场之间的非对称联系。研究采用非线性自回归分布滞后(NARDL)对 2017 年 1 月 1 日至 2023 年 1 月 26 日的数据进行分析,其中考虑了 COVID-19 大流行时期和俄乌战争。结果表明,比特币价格下跌导致债券价格上涨,这在欧盟最为明显,比特币价格上涨1%,债券价格下跌0.032%。同样,石油价格指数显示债券价格受到负的非对称冲击,美国债券市场的涨幅最大。黄金市场指数与债券市场呈正相关(美国债券市场下跌 0.476%),因为市场对价格下跌的反应过度,而不是对价格上涨的反应过度,而且往往是长期反应过度,而不是短期反应过度,但比特币除外。比特币和石油市场充当了强大的避险工具,而黄金则在大流行病和俄乌战争期间扮演了弱避险工具的角色。虽然我们的结果在乘数影响和稳定性测试中是一致的,但由于俄罗斯和乌克兰是几种重要商品和能源的最大生产国和出口国,基金经理可能会发现这些结果很重要。我们将讨论研究结果的实际意义。
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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