The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies

Palazzi, Rafael Baptista; Júnior, Gerson de Souza Raimundo; Klötzle, Marcelo Cabús

doi:10.1016/j.frl.2020.101893

Cited by 21 publications

(6 citation statements)

References 41 publications

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“…The data that support the findings of this study are openly available in Mendeley at https://data.mendeley.com/datasets/d7fy9rsr5f/1, reference number 10.17632/d7fy9rsr5f.1 (Palazzi et al, 2023).…”

Section: Data Availability Statementsupporting

confidence: 63%

Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19

Palazzi,

Assaf,

Klotzle

2023

Journal of Futures Markets

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Brazil's significant commodity production is internationally recognized, yet the absence of a mature futures market exposes it to price risks and international shocks. This study explores the dynamic connectedness between commodity futures and the Brazilian cash markets, using a time‐varying parameter vector autoregressive model. We also assess COVID‐19's impact on this connectedness. We find a significant influence of oil prices on Brazilian ethanol prices, and particularly emphasize the Heating Oil spillover effect on ethanol in the post‐COVID‐19 era. We also note the ascension of Brazilian soybean spot markets' international significance since 2017, amplifying their role in global grain price discovery. Finally, by computing hedge ratios and effectiveness between commodity futures contracts and Brazilian spot prices, our study reveals soybean cash price as the most effective hedge. These insights deepen comprehension of connectedness within Brazilian commodity markets, thereby guiding investors and policymakers in strategic energy policy decisions.

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Section: Data Availability Statementsupporting

confidence: 63%

Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19

Palazzi,

Assaf,

Klotzle

2023

Journal of Futures Markets

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“…For future research directions, this study argues that scholars may do more to discuss the Chinese foreign exchange market as a normal market, such as discussions about market efficiency [11]- [13], and the impact of certain events on the market [14]- [16]. The research on the nature and characteristics of the market will be reduced accordingly, because the third stage of the reform of the Chinese foreign exchange market has been associated with a gradual shift from state control.…”

Section: Discussionmentioning

confidence: 99%

A Brief Overview of the Development on the Foreign Exchange Market in China: From 2018 to 2022

He¹,

Baoyu²,

Yulun³

2023

JCFMBS

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Transactions in the foreign exchange market determine the value of one currency relative to another, and in the present day of globalization, the foreign exchange market in each country has been the focus of scholars. However, few scholars seem to have combed through the development of Chinese foreign exchange market and the hot spots and directions of research in the last five years. Therefore, this study uses keyword co-occurrence and clustering analysis of 177 literature from Scopus and Web of Science were conducted using Citiespace software. The results show that the topics that scholars have focused on in the last five years include "exchange rate," "market," "China,” etc. In addition, this study considers that the research directions of scholars are mainly divided into three categories.

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“…In this context, Dyhrberg (2015) stated that Bitcoin could protect United Kingdom (UK) stocks and the US dollar. Therefore, the focus is on the US Dollar Index, which is at the center of today's financial system (Palazzi et al, 2021;Yu et al, 2021;Bekiros et al, 2021;Duan et al, 2021).…”

Section: Methodsmentioning

confidence: 99%

Investigating the Market Linkages between Cryptocurrencies and Conventional Assets

Yavuz

BOZKURT²,

Boğa³

2022

emaj

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Many investors include cryptocurrencies as potential investment tools in their portfolios. Previous studies have mostly analyzed Bitcoin regarding its hedge and safe haven features. Although the cryptocurrency market has expanded far beyond Bitcoin, few studies have examined the interaction among all other cryptocurrencies and conventional financial assets. For this purpose, as the dependent variable, we included the cryptocurrency index to represent the cryptocurrency market, whereas international stocks, bonds, United States (US) dollars, gold, and commodities as independent variables in the analysis. The interactions among the variables were analyzed using the Granger causality tests. The analysis results revealed a two-way causality relationship between the cryptocurrency market and the bond markets, indicating that the cryptocurrency index can be used to predict bond prices and vice versa.

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The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies

Cited by 21 publications

References 41 publications

Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19

Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19

A Brief Overview of the Development on the Foreign Exchange Market in China: From 2018 to 2022

Investigating the Market Linkages between Cryptocurrencies and Conventional Assets

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