Macro-Financial Parameters Influencing Bitcoin Prices: Evidence from Symmetric and Asymmetric ARDL Models

Auteurs-es

  • Srinivasan Palamalai Presidency University, Bangalore, Karnataka, India
  • Bipasha Maity Presidency University, Bangalore, Karnataka, India
  • Krishna Kumar Presidency University, Bangalore, Karnataka, India

DOI :

https://doi.org/10.15353/rea.v13i3.3585

Mots-clés :

Bitcoin, Hedging asset, macro-financial parameters, symmetric and asymmetric ARDL models

Résumé

Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL) models with structural breaks. The asymmetric long-run association ascertained between Bitcoin prices and the macroeconomic-financial indicators is evident. Our empirical results indicate that the Bitcoin cannot be used to hedge against the inflation, Federal funds rate, stock markets and commodity markets. We further find that Bitcoin can be regarded as a hedging device for the oil prices. Our findings have significant implications for market participants who consider including alternate investment assets in their portfolios.

Téléchargements

Publié-e

2022-04-10

Numéro

Vol. 14 No. 1 (2022)

Rubrique

Articles

Licence

© Srinivasan Palamalai, Bipasha Maity, Krishna Kumar 2021

Licence Creative Commons

Cette œuvre est sous licence Creative Commons Attribution - Pas d'Utilisation Commerciale 4.0 International.

The Review of Economic Analysis is committed to the open exchange of ideas and information. 

Unlike traditional print journals which require the author to relinquish copyright to the publisher, The Review of Economic Analysis requires that authors release their work under Creative Commons Attribution Non-Commercial license. This license allows anyone to copy, distribute and transmit the work provided the use is non-commercial and appropriate attribution is given. 

A 'human-readable' summary of the licence is here and the full legal text is here.