Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic

Francisco Jareño (), María de la O. González, Raquel López and Ana Rosa Ramos

Resources Policy, 2021, vol. 74, issue C

Abstract: This study explores potential non-linear and asymmetric interdependencies between oil price shocks and leading cryptocurrency returns. In addition, this research splits changes in crude oil prices into three relevant components: risk, demand, and supply shocks. By applying the NARDL methodology, this paper examines the connection between oil and cryptocurrencies in the period between November 20, 2018 and June 30, 2020, conducting a study of the first wave of the COVID-19 pandemic. Our results confirm that demand shocks show the greatest connection with the returns of the cryptocurrencies analysed. In addition, both short-term and long-term results show a greater interdependence between oil and cryptocurrencies in periods of economic turbulence, such as the SARS-CoV-2 coronavirus crisis.

Keywords: Cryptocurrencies; NARDL; Crude oil prices; Bitcoin; COVID-19 (search for similar items in EconPapers)
JEL-codes: C22 C51 F21 H12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002920

DOI: 10.1016/j.resourpol.2021.102281

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