120
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Energy Price Inflation, Geopolitical Risk, and Bitcoin Dependence Structure: Evidence from BRICS

, & ORCID Icon

References

  • Abuzayed, B., and N. Al-Fayoumi. 2021. Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. The North American Journal of Economics & Finance 58:101476. doi:10.1016/j.najef.2021.101476.
  • Ahelegbey, D. F., M. Billio, and R. Casarin. 2016. Bayesian graphical models for structural vector autoregressive processes. Journal of Applied Econometrics 31 (2):357–86. doi:10.1002/jae.2443.
  • Ahelegbey, D. F., P. Cerchiello, and R. Scaramozzino. 2022. Network based evidence of the financial impact of covid-19 pandemic. International Review of Financial Analysis 81:102101. doi:10.1016/j.irfa.2022.102101.
  • Ahelegbey, D. F., P. Giudici, and F. Mojtahedi. 2021. Tail risk measurement in crypto-asset markets. International Review of Financial Analysis 73:101604. doi:10.1016/j.irfa.2020.101604.
  • Al Mamun, M., G. S. Uddin, M. T. Suleman, and S. H. Kang. 2020. Geopolitical risk, uncertainty and bitcoin investment. Physica A: Statistical Mechanics and Its Applications 540:123107. doi:10.1016/j.physa.2019.123107.
  • Al-Yahyaee, K. H., M. U. Rehman, W. Mensi, and I. M. W. Al-Jarrah. 2019. Can uncertainty indices predict bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches. The North American Journal of Economics & Finance 49:47–56. doi:10.1016/j.najef.2019.03.019.
  • Alexander, M. J., P. James, and N. Richardson. 2015. Energy storage against interconnection as a balancing mechanism for a 100% renewable UK electricity grid. IET Renewable Power Generation 9 (2):131–141. doi:10.1049/iet-rpg.2014.0042.
  • Alqahtani, A., E. Bouri, and X. V. Vo. 2020. Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. Economic Analysis & Policy 68:239–249. doi:10.1016/j.eap.2020.09.017.
  • Antonakakis, N., I. Chatziantoniou, and G. Filis. 2017. Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. International Review of Financial Analysis 50:1–26. doi:10.1016/j.irfa.2017.01.004.
  • Antonakakis, N., I. Chatziantoniou, and D. Gabauer. 2020. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management 13 (4):1–23. doi:10.3390/jrfm13040084.
  • Aysan, A. F., E. Demir, G. Gozgor, and C. K. M. Lau. 2019. Effects of the geopolitical risks on bitcoin returns and volatility. Research in International Business and Finance 47:511–18. doi:10.1016/j.ribaf.2018.09.011.
  • Baker, S. R., N. Bloom, S. J. Davis, K. J. Kost, M. C. Sammon, and T. Viratyosin, 2020. The unprecedented stock market impact of COVID-19 (no. w26945). National Bureau of Economic Research.
  • Baker, S. R., N. Bloom, S. J. Davis, and S. J. Terry, 2020. Covid-induced economic uncertainty (no. w26983). National Bureau of Economic Research
  • Bouoiyour, J., R. Selmi, and M. E. Wohar. 2019. Safe havens in the face of presidential election uncertainty: A comparison between Bitcoin, oil and precious metals. Applied Economics 51 (57):6076–6088. doi:10.1080/00036846.2019.1645289.
  • Bouri, E., G. Azzi, and A. H. Dyhrberg. 2017. On the return-volatility relationship in the Bitcoin market around the price crash of 2013. Economics 11 (1). doi:10.5018/economics-ejournal.ja.2017-2.
  • Bouri, E., M. Das, R. Gupta, and D. Roubaud. 2018. Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics 50 (55):5935–5949. doi:10.1080/00036846.2018.1488075.
  • Bouri, E., R. Gupta, and X. V. Vo. 2020. Jumps in geopolitical risk and the cryptocurrency market: The singularity of Bitcoin. Defence and Peace Economics 33 (2):1–12. doi:10.1080/10242694.2020.1848285.
  • Caldara, D., M. Iacoviello, and A. Markiewitz. 2017. Country-specific geopolitical risk. Board of governors of the federal reserve board. Mimeo.
  • Caldara, D., and M. Iacoviello. (2021). Measuring Geopolitical Risk, International Finance Discussion Papers 1222r1. Washington: Board of Governors of the Federal Reserve System. doi:10.17016/IFDP.2022.1222r1.
  • Chang, C. L., M. McAleer, and R. Tansuchat. 2010. Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets. Energy Economics 32 (6):1445–1455. doi:10.1016/j.eneco.2010.04.014.
  • Cheng, H. P., and K. C. Yen. 2020. The relationship between the economic policy uncertainty and the cryptocurrency market. Finance Research Letters 35:101308. doi:10.1016/j.frl.2019.101308.
  • Choudhry, T. 2010. World war II events and the Dow Jones industrial index. Journal of Banking and Finance 34 (5):1022–1031. doi:10.1016/j.jbankfin.2009.11.004.
  • Colgan, J. D., 2009. The international energy agency. Challenges for the 21st Century. GPPi Energy Policy Paper, 6.
  • Demir, E., G. Gozgor, C. K. M. Lau, and S. A. Vigne. 2018. Does economic policy uncertainty predict the bitcoin returns? An empirical investigation. Finance Research Letters 26:145–49. doi:10.1016/j.frl.2018.01.005.
  • Diebold, F. X., and K. Yilmaz. 2012. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting 28 (1):57–66. doi:10.1016/j.ijforecast.2011.02.006.
  • Diebold, F. X., and K. Yılmaz. 2014. On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics 182 (1):119–134. doi:10.1016/j.jeconom.2014.04.012.
  • Drakos, K., and C. Kallandranis. 2015. A note on the effect of terrorism on economic sentiment. Defence and Peace Economics 26 (6):600–608. doi:10.1080/10242694.2015.1016295.
  • Elsayed, A. H., G. Gozgor, and C. K. M. Lau. 2022. Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. International Review of Financial Analysis 81:102069. doi:10.1016/j.irfa.2022.102069.
  • Fang, L., E. Bouri, R. Gupta, and D. Roubaud. 2019. Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? International Review of Financial Analysis 61:29–36. doi:10.1016/j.irfa.2018.12.010.
  • Gajardo, G., W. D. Kristjanpoller, and M. Minutolo. 2018. Does bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, great British pound and yen? Chaos, Solitons & Fractals 109:195–205. doi:10.1016/j.chaos.2018.02.029.
  • Goodell, J. W., and S. Goutte. 2021. Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis. Finance Research Letters 38:101625. doi:10.1016/j.frl.2020.101625.
  • Gozgor, G., C. K. M. Lau, and M. H. Bilgin. 2016. Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets. Journal of International Financial Markets, Institutions and Money 44:35–45. doi:10.1016/j.intfin.2016.04.008.
  • Gozgor, G., M. C. K. Lau, Y. Zeng, C. Yan, and Z. Lin. 2022. The impact of geopolitical risks on tourism supply in developing economies: The moderating role of social globalization. Journal of Travel Research 61 (4):872–86. doi:10.1177/00472875211004760.
  • Hoque, M. E., and M. A. S. Zaidi. 2020. Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies. Borsa Istanbul Review 20 (3):197–213. doi:10.1016/j.bir.2020.05.001.
  • Jarque, C. M., and A. K. Bera. 1980. Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters 6 (3):255–259. doi:10.1016/0165-1765(80)90024-5.
  • Jäschke, S. 2014. Estimation of risk measures in energy portfolios using modern copula techniques. Computational Statistics & Data Analysis 76:359–376. doi:10.1016/j.csda.2014.01.019.
  • Kalyvas, A., P. Papakyriakou, A. Sakkas, and A. Urquhart. 2020. What drives Bitcoin’s price crash risk? Economics Letters 191:108777. doi:10.1016/j.econlet.2019.108777.
  • Kang, S. H., S. M. Kang, and S. M. Yoon. 2009. Forecasting volatility of crude oil markets. Energy Economics 31 (1):119–125. doi:10.1016/j.eneco.2008.09.006.
  • Khalfaoui, R., G. Gozgor, and J. W. Goodell. 2023. Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis. Finance Research Letters 52:103365. doi:10.1016/j.frl.2022.103365.
  • Kollias, C., C. Kyrtsou, and S. Papadamou. 2013. The effects of terrorism and war on the oil price–stock index relationship. Energy Economics 40:743–752. doi:10.1016/j.eneco.2013.09.006.
  • Koop, G., and D. Korobilis. 2014. A new index of financial conditions. European Economic Review 71:101–116. doi:10.1016/j.euroecorev.2014.07.002.
  • Lau, C. K., A. M. Soliman, J. Albasu, and G. Giray Gozgor. 2023. Dependence structures among geopolitical risks, energy prices, and carbon emissions prices. Resources Policy 83:103603. doi:10.1016/j.resourpol.2023.103603.
  • Le Billon, P., and A. Cervantes. 2009. Oil prices, scarcity, and geographies of war. Annals of the Association of American Geographers 99 (5):836–844, December. Geographies of Peace and Armed Conflict.
  • Li, X., W. Shang, and S. Wang. 2019. Text-based crude oil price forecasting: A deep learning approach. International Journal of Forecasting 35 (4):1548–1560. doi:10.1016/j.ijforecast.2018.07.006.
  • López-Cabarcos, M. Á., A. M. Pérez-Pico, J. Piñeiro-Chousa, and A. Šević. 2019. Bitcoin volatility, stock market and investor sentiment. Are they connected? Finance Research Letters 38:101399. doi:10.1016/j.frl.2019.101399.
  • Mohammadi, H., and L. Su. 2010. International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models. Energy Economics 32 (5):1001–1008. doi:10.1016/j.eneco.2010.04.009.
  • Raza, S. A., N. Shah, and M. Shahbaz. 2018. Does economic policy uncertainty influence gold prices? Evidence from a nonparametric causality-in-quantiles approach. Resources Policy 57:61–68. doi:10.1016/j.resourpol.2018.01.007.
  • Shahbaz, M., A. Sharif, A. M. Soliman, Z. Jiao, and S. Hammoudeh. 2023. Oil prices and geopolitical risk: Fresh insights based on granger-causality in quantiles analysis. International Journal of Finance & Economics 1–17. doi:10.1002/ijfe.2806.
  • Sharif, A., C. Aloui, and L. Yarovaya. 2020. COVID-19 pandemic, oil prices, stock market, geopolitical risks and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis 70:101496. doi:10.1016/j.irfa.2020.101496.
  • Soliman, A. M., and M. A. Nasir. 2019. Association between the energy and emission prices: An analysis of EU emission trading system. Resources Policy 61:369–374. doi:10.1016/j.resourpol.2018.12.005.
  • Su, C. W., K. Khan, R. Tao, and M. Nicoleta-Claudia. 2019. Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia. Energy 187:116003. doi:10.1016/j.energy.2019.116003.
  • Su, C. W., M. Qin, R. Tao, and M. Umar. 2020. Financial implications of fourth industrial revolution: Can bitcoin improve prospects of energy investment? Technological Forecasting & Social Change 158:120178. doi:10.1016/j.techfore.2020.120178.
  • Wang, G. J., C. Xie, D. Wen, and L. Zhao. 2019. When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin. Finance Research Letters 31. doi: 10.1016/j.frl.2018.12.028.
  • Wu, S., M. Tong, Z. Yang, and A. Derbali. 2019. Does gold or bitcoin hedge economic policy uncertainty? Finance Research Letters 31:171–178. doi:10.1016/j.frl.2019.04.001.
  • Yang, K., Y. Wei, S. Li, and J. He. 2021. Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover. Journal of Cleaner Production 279:123429. doi:10.1016/j.jclepro.2020.123429.
  • Yen, K. C., and H. P. Cheng. 2021. Economic policy uncertainty and cryptocurrency volatility. Finance Research Letters 38:101428. doi:10.1016/j.frl.2020.101428.
  • Zhang, G., and Z. Du. 2017. Co-movements among the stock prices of new energy, high-technology and fossil fuel companies in China. Energy 135:249–256. doi:10.1016/j.energy.2017.06.103.
  • Zhao, Z., C. Keung Marco Lau, A. Soliman, and S. Farhani. 2023. Energy commodity and stock market interconnectedness: Evidence from carbon emission trading system. Technological Forecasting & Social Change 194:122669. doi:10.1016/j.techfore.2023.122669.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.