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

13 Pages Posted: 18 Jun 2020

See all articles by Stephane Goutte

Stephane Goutte

University Paris-Saclay, UVSQ, CEMOTEV, UVSQ.

Benjamin Keddad

PSB Paris School of Business

Date Written: May 24, 2020

Abstract

[enter Abstract Body]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.

Keywords: Bitcoin, Commodities, Markov-Switching VAR, Regime-dependent IRF

JEL Classification: C32, G15, Q02

Suggested Citation

Goutte, Stephane and Keddad, Benjamin, A Non-Linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets. (May 24, 2020). Available at SSRN: https://ssrn.com/abstract=3609108

Stephane Goutte (Contact Author)

University Paris-Saclay, UVSQ, CEMOTEV, UVSQ. ( email )

47 Boulevard Vauban
Guyancourt, 78280
France

HOME PAGE: http://https://sites.google.com/site/mathgoutte/

Benjamin Keddad

PSB Paris School of Business ( email )

59 rue Nationale
Paris, 75013
France

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