A Non-linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets - Université de Versailles Saint-Quentin-en-Yvelines Access content directly
Book Sections Year : 2021

A Non-linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets

Abstract

In this paper, we explore the relationship across cryptocurrencies and a set of commodities by using a Markov-Switching-VAR model. The parametric form of the model allows us to compute the regime-dependent impulse response functions during high and low volatility episodes and then to quantify bidirectional spillovers between both markets. Our main results show that responses to commodity shocks are more important in the high volatility regime for almost all commodities. However, we find a very moderate impact of the Bitcoin fluctuations on commodities, although situations seem to differ according to the commodity.
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hal-04475388 , version 1 (23-02-2024)

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Stéphane Goutte, Benjamin Keddad. A Non-linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets. Recent Econometric Techniques for Macroeconomic and Financial Data, 27, Springer International Publishing, pp.303-314, 2021, Dynamic Modeling and Econometrics in Economics and Finance, ⟨10.1007/978-3-030-54252-8_12⟩. ⟨hal-04475388⟩
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