Extreme risk transmission among bitcoin and crude oil markets

Dongxin Li, Yanran Hong, Lu Wang, Pengfei Xu and Zhigang Pan

Resources Policy, 2022, vol. 77, issue C

Abstract: In the period of extreme events, this paper aims to study the extreme risk transmission between Bitcoin and crude oil market by using the extreme Granger causality test to test their causal relationship under extreme and non-extreme shocks. First, we can obtain different shocks of Bitcoin and crude oil returns based on empirical quantiles. Second, considering the different role that these shocks played in the causality between Bitcoin and crude oil, we conduct our research by testing the causality among different pairwise shocks. Further, given that these relationships may be changed at different time horizons, we also detect them from a frequency-domain perspective. Hence, we not only find the strong evidence of extreme risk transmission between Bitcoin and crude oil but also investigate the time-varying characteristic of this transmission, which may have a great impact on market participants and scholars related to Bitcoin-oil relations.

Keywords: Bitcoin; Crude oil markets; Granger causality; Extreme risk transmission; Time-frequency domain (search for similar items in EconPapers)
JEL-codes: C32 F39 G11 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002094

DOI: 10.1016/j.resourpol.2022.102761

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