Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

Yadong Liu (), Nathee Naktnasukanjn, Anukul Tamprasirt and Tanarat Rattanadamrongaksorn
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Yadong Liu: International College of Digital Innovation, Chiang Mai University, Chiang Mai 50200, Thailand
Nathee Naktnasukanjn: International College of Digital Innovation, Chiang Mai University, Chiang Mai 50200, Thailand
Anukul Tamprasirt: International College of Digital Innovation, Chiang Mai University, Chiang Mai 50200, Thailand
Tanarat Rattanadamrongaksorn: International College of Digital Innovation, Chiang Mai University, Chiang Mai 50200, Thailand

JRFM, 2023, vol. 16, issue 10, 1-17

Abstract: This paper aims to reveal the asymmetric co-integration relationship and asymmetric causality between Bitcoin and global financial assets, namely gold, crude oil and the US dollar, and make a comparison for their asymmetric relationship before and after the COVID-19 outbreak. Empirical results show that there is no linear co-integration relationship between Bitcoin and global financial assets, but there are nonlinear co-integration relationships. There is an asymmetric co-integration relationship between the rise in Bitcoin prices and the decline in the US Dollar Index (USDX), and there is a nonlinear co-integration relationship between the decline of Bitcoin and the rise and decline in the prices of the three financial assets. To be specific, there is a Granger causality between Bitcoin and crude oil, but not between Bitcoin and gold/US dollar. Before the outbreak of the COVID-19 pandemic, there was an Asymmetric Granger causality between the decline in gold prices and the rise in Bitcoin prices. After the outbreak of the pandemic, there is an asymmetric Granger causality between the decline in crude oil prices and the decline in Bitcoin prices. The COVID-19 epidemic has led to changes in the causality between Bitcoin and global financial assets. However, there is not a linear Granger causality between the US dollar and Bitcoin. Last, the practical implications of the findings are discussed here.

Keywords: pandemic; nonlinear; Bitcoin; causality; co-integration (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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