Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/328119 
Year of Publication: 
2022
Citation: 
[Journal:] Review of Economic Analysis (REA) [ISSN:] 1973-3909 [Volume:] 14 [Issue:] 1 [Year:] 2022 [Pages:] 143-175
Publisher: 
International Centre for Economic Analysis (ICEA), Waterloo (Ontario)
Abstract: 
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.
Subjects: 
Bitcoin
Hedging asset
macro-financial parameters
symmetric and asymmetric ARDL models
JEL: 
C10
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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