Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices

Elie Bouri (), Rangan Gupta, Amine Lahiani and Muhammad Shahbaz

Resources Policy, 2018, vol. 57, issue C, 224-235

Abstract: Unlike prior studies, this study examines the nonlinear, asymmetric and quantile effects of aggregate commodity index and gold prices on the price of Bitcoin. Using daily data from July 17, 2010 to February 2, 2017, we employed several advanced autoregressive distributed lag (ARDL) models. The nonlinear ARDL approach was applied to uncover short- and long-run asymmetries, whereas the quantile ARDL was applied to account for a second type of asymmetry, known as the distributional asymmetry according to the position of a dependent variable within its own distribution. Moreover, we extended the nonlinear ARDL to a quantile framework, leading to a richer new model, which allows testing for distributional asymmetry while accounting for short- and long-run asymmetries. Overall, our results indicate the possibility to predict Bitcoin price movements based on price information from the aggregate commodity index and gold prices. Importantly, we report the nuanced result that most often the relations between bitcoin and aggregate commodity, on the one hand, and between bitcoin and gold, on the other, are asymmetric, nonlinear, and quantiles-dependent, suggesting the need to apply non-standard cointegration models to uncover the complexity and hidden relations between Bitcoin and asset classes.

Keywords: Cointegration; Asymmetry; Nonlinearity; Quantile dependence; Bitcoin; Commodity; Gold (search for similar items in EconPapers)
JEL-codes: C12 G15 Q02 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (93)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420718300163
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices (2018)
Working Paper: Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Aggregate Commodity and Gold Prices (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:57:y:2018:i:c:p:224-235

DOI: 10.1016/j.resourpol.2018.03.008

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().