Harbor in the storm: How Bitcoin navigates challenges of climate change and global uncertainties
Houjian Li,
Fangyuan Luo and
Lili Guo
International Review of Economics & Finance, 2024, vol. 96, issue PB
Abstract:
Understanding Bitcoin's (BTC) performance and hedging effects under various uncertainties is crucial. This study combines time-varying Granger causality (TVGC) tests and wavelet time-varying parameter vector autoregression (TVP-VAR) methods to examine the relationship between Bitcoin (BTC) and climate uncertainty (SOI), geopolitical risk (GPR), economic policy uncertainty (EPU), crude oil volatility (OVX), and market volatility (VIX) across both time and frequency domains, from December 19, 2017, to October 16, 2023. The results show that in recent years, the long-term impact of SOI on BTC, as well as political and economic uncertainties, is hard to ignore, but BTC cannot serve as a safe-haven asset against SOI. Wavelet decomposition indicates that during extreme events, BTC exhibits a leading positive co-movement with EPU, GPR, VIX, and OVX in the long term, showing potential as a hedging asset. However, TVGC and wavelet decomposition spillover results further suggest that BTC's hedging capacity against different economic and political uncertainties may be limited during certain extreme events.
Keywords: Climate change; BTC; The wavelet TVP-VAR; Time-varying granger causality test (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105905602400666X
Full text for ScienceDirect subscribers only
Related works:
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:reveco:v:96:y:2024:i:pb:s105905602400666x
DOI: 10.1016/j.iref.2024.103674
Access Statistics for this article
International Review of Economics & Finance is currently edited by H. Beladi and C. Chen
More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().