The dynamics of bonds, commodities and bitcoin based on NARDL approach

Journal article

Bouteska, A., Hassan, M. Kabir, Rashid, M. and Bilgin, Mehmet Hüseyin 2024. The dynamics of bonds, commodities and bitcoin based on NARDL approach. The Quarterly Review of Economics and Finance. 94, pp. 58-70. https://doi.org/10.1016/j.qref.2023.12.013
AuthorsBouteska, A., Hassan, M. Kabir, Rashid, M. and Bilgin, Mehmet Hüseyin
AbstractAsset market dynamic interconnectedness poses significant challenges to investors, fund managers, and policymakers, particularly in periods of prolonged uncertainty and economic crisis. This study investigates the asymmetric connection between the Bitcoin, gold, and oil markets and the bond markets in the United States, Australia, China, and the European Union. The study employed nonlinear autoregressive distributed lag (NARDL) on data ranging from January 1, 2017, to January 26, 2023, that accounted for the COVID-19 pandemic period and the Russian-Ukraine war. The results indicate that a fall in the Bitcoin price leads to a rise in bond prices, most profoundly in the European Union, where a 1% rise in the Bitcoin price leads to a 0.032% fall in bond prices. Similarly, the oil price index indicated a negative asymmetric shock in bond prices, with the most profound rise in the US bond market. The gold market index exhibited a positive connection to the bond market (US bond market falls by 0.476%) as the market overreacts to a fall in prices rather than a rise, and often in the long run rather than the short run, except for Bitcoin. The Bitcoin and oil markets act as strong safe-havens, while gold plays the role of a weak hedge during the pandemic and the Russia-Ukraine war. While our results are consistent over multiplier impact and stability tests, fund managers may find these significant due to the involvement of Russia and Ukraine as the two largest producers and exporters of several important commodities and energy. We discuss practical implications of our findings.
KeywordsAsymmetry; Bonds; Bitcoin; Commodities; COVID-19; Russia-Ukraine war
Year2024
JournalThe Quarterly Review of Economics and Finance
Journal citation94, pp. 58-70
PublisherElsevier
ISSN1062-9769
Digital Object Identifier (DOI)https://doi.org/10.1016/j.qref.2023.12.013
Official URLhttps://www.sciencedirect.com/science/article/pii/S1062976923001497
Publication dates
Online10 Jan 2024
Publication process dates
Accepted20 Dec 2023
Deposited06 Mar 2024
Accepted author manuscript
License
Output statusPublished
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