Asymmetric effects of climate policy uncertainty and energy prices on bitcoin prices

Provash Sarker, Chi Keung Lau and Ashis Pradhan

Innovation and Green Development, 2023, vol. 2, issue 2

Abstract: This paper investigates the asymmetric effects of climate policy uncertainty (CPU) and the global price of energy index (GPEI) on Bitcoin prices. It applies the nonlinear ARDL method and the Granger causality test to examine how changes in climate policy uncertainty and energy prices influence Bitcoin prices. Using the monthly data of CPU, GPEI, and BTC from 2013M10–2021M12, the findings show that CPU's increases and GPEI's decreases positively affect BTC in the short term. Specifically, CPU and GPEI's increase and decrease show significantly higher effects on BTC in the long term. The causality result shows bidirectional causality between BTC and CPU's increases/decreases, while unidirectional causality runs from GPEI's increases/decreases to BTC. These findings suggest that Bitcoin investors should be aware of the risks associated with climate policy uncertainty and fluctuations in energy prices, as these factors can significantly asymmetrically impact Bitcoin prices.

Keywords: Climate policy uncertainty; Bitcoin; Global energy prices; NARDL (search for similar items in EconPapers)
JEL-codes: G12 Q43 Q54 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ingrde:v:2:y:2023:i:2:s2949753123000164

DOI: 10.1016/j.igd.2023.100048

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