Harbor in the storm: How Bitcoin navigates challenges of climate change and global uncertainties

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE International Review of Economics & Finance Pub Date : 2024-10-09 DOI:10.1016/j.iref.2024.103674

Houjian Li, Fangyuan Luo, Lili Guo

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Abstract

Understanding Bitcoin's (BTC) performance and hedging effects under various uncertainties is crucial. This study combines time-varying Granger causality (TVGC) tests and wavelet time-varying parameter vector autoregression (TVP-VAR) methods to examine the relationship between Bitcoin (BTC) and climate uncertainty (SOI), geopolitical risk (GPR), economic policy uncertainty (EPU), crude oil volatility (OVX), and market volatility (VIX) across both time and frequency domains, from December 19, 2017, to October 16, 2023. The results show that in recent years, the long-term impact of SOI on BTC, as well as political and economic uncertainties, is hard to ignore, but BTC cannot serve as a safe-haven asset against SOI. Wavelet decomposition indicates that during extreme events, BTC exhibits a leading positive co-movement with EPU, GPR, VIX, and OVX in the long term, showing potential as a hedging asset. However, TVGC and wavelet decomposition spillover results further suggest that BTC's hedging capacity against different economic and political uncertainties may be limited during certain extreme events.

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风暴中的港湾比特币如何应对气候变化和全球不确定性带来的挑战

了解比特币（BTC）在各种不确定因素下的表现和对冲效应至关重要。本研究结合时变格兰杰因果关系（TVGC）检验和小波时变参数向量自回归（TVP-VAR）方法，从2017年12月19日至2023年10月16日，跨时域和频域研究比特币（BTC）与气候不确定性（SOI）、地缘政治风险（GPR）、经济政策不确定性（EPU）、原油波动率（OVX）和市场波动率（VIX）之间的关系。结果显示，近年来，SOI 对 BTC 以及政治和经济不确定性的长期影响难以忽视，但 BTC 无法成为抵御 SOI 的避险资产。小波分解显示，在极端事件发生时，BTC 与 EPU、GPR、VIX 和 OVX 长期呈现领先的正向共振，显示出作为对冲资产的潜力。然而，TVGC 和小波分解溢出结果进一步表明，在某些极端事件中，BTC 针对不同经济和政治不确定性的对冲能力可能有限。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.