Asymmetric dynamics between cryptocurrency uncertainty and the oil and gold markets: evidence from Granger causality in quantiles

被引：3
|
作者：
Zhang, Jian [1 ]
Zhao, Jinsong [1 ]
Lee, Chi-Chuan [2 ,3 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Econ, Chengdu, Peoples R China
[2] Southwestern Univ Finance & Econ, Sch Publ Adm, Chengdu, Peoples R China
[3] Southwestern Univ Finance & Econ, Sch Publ Adm, Room 1105,Gezhi Bldg,555 Liutai Ave, Chengdu, Peoples R China
来源：
APPLIED ECONOMICS | 2024年
关键词：
Cryptocurrency uncertainty; cryptocurrency; crude oil price; gold price; Granger-causality; C22; E44; G12; G32; Q43; SAFE HAVENS; RISK; PRICE; VOLATILITY; INFLATION; BITCOIN; STOCKS; TIME; SPILLOVERS; DEPENDENCE;
D O I：
10.1080/00036846.2024.2305618
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This research examines the causal relationships between cryptocurrency uncertainty, the price of crude oil, and the price of gold using weekly data from 30 December 2013, to 21 February 2021, applying Granger-causality analysis on each quantile. Under this approach, we are able to distinguish between median and tail relationships for conditional quantiles. We find a bidirectional causal relationship between cryptocurrency uncertainty and crude oil prices, implying that crude oil price volatility is one source of cryptocurrency uncertainty, whereas a causal relationship from cryptocurrency uncertainty or crude oil prices to gold suggests that gold hedges cryptocurrency uncertainty and crude oil price shocks. Our research calls on governments to maintain cryptocurrency market stability to reduce market volatility in crude oil prices. Investors and fund managers can consider adding gold assets to portfolios that contain cryptocurrencies or crude oil in order to hedge against the risks of cryptocurrency uncertainty and crude oil price volatility.
引用
收藏
页数：14
相关论文
共 50 条
  • [1] Causality-in-quantiles between crude oil and stock markets: Evidence from emerging economies
    Bhatia, Vaneet
    Basu, Sankarshan
    [J]. FINANCE RESEARCH LETTERS, 2021, 40
  • [2] Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles
    Jiang, Yong
    Ren, Yi-Shuai
    Narayan, Seema
    Ma, Chao-Qun
    Yang, Xiao-Guang
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 62
  • [3] Granger-causality in quantiles between financial markets: Using copula approach
    Lee, Tae-Hwy
    Yang, Weiping
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2014, 33 : 70 - 78
  • [4] Cyclicality of commodity markets with respect to the U.S. economic policy uncertainty based on granger causality in quantiles
    Apergis, Nicholas
    Hayat, Tasawar
    Saeed, Tareq
    [J]. ECONOMIC NOTES, 2021, 50 (01)
  • [5] Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis
    Yuan, Di
    Li, Sufang
    Li, Rong
    Zhang, Feipeng
    [J]. ENERGY ECONOMICS, 2022, 110
  • [6] Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices
    Elsayed, Ahmed H.
    Gozgor, Giray
    Yarovaya, Larisa
    [J]. FINANCE RESEARCH LETTERS, 2022, 47
  • [7] Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test
    Balcilar, Mehmet
    Gupta, Rangan
    Pierdzioch, Christian
    [J]. RESOURCES POLICY, 2016, 49 : 74 - 80
  • [8] Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach
    Karim, Muhammad Mahmudul
    Ali, Md Hakim
    Yarovaya, Larisa
    Uddin, Md Hamid
    Hammoudeh, Shawkat
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 90
  • [9] Does economic policy uncertainty influence gold prices? Evidence from a nonparametric causality-in-quantiles approach
    Raza, Syed Ali
    Shah, Nida
    Shahbaz, Muhammad
    [J]. RESOURCES POLICY, 2018, 57 : 61 - 68
  • [10] Heterogeneous dependence among cryptocurrency, green bonds, and sustainable equity: New insights from Granger-causality in quantiles analysis
    Lee, Chi-Chuan
    Yu, Chin-Hsien
    Zhang, Jian
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 87 : 99 - 109
12345