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Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series Read chapter Read first chapter

2021 | OriginalPaper | Chapter

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

Authors : Stéphane Goutte, Benjamin Keddad

Published in: Recent Econometric Techniques for Macroeconomic and Financial Data

Publisher: Springer International Publishing

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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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Metadata
Title
A Non-linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets
Authors
Stéphane Goutte
Benjamin Keddad
Copyright Year
2021
Book
Recent Econometric Techniques for Macroeconomic and Financial Data

Print ISBN: 978-3-030-54251-1

Electronic ISBN: 978-3-030-54252-8

Copyright Year: 2021

DOI
https://doi.org/10.1007/978-3-030-54252-8_12