TY - JOUR
T1 - Asymmetric effects of climate policy uncertainty and energy prices on bitcoin prices
AU - Sarker, Provash Kumer
AU - Lau, Chi Keung Marco
AU - Pradhan, Ashis Kumar
PY - 2023/6/1
Y1 - 2023/6/1
N2 - This paper investigates the asymmetric effects of climate policy uncertainty (CPU) and the global price of energy index (GPEI) on Bitcoin prices. It applies the nonlinear ARDL method and the Granger causality test to examine how changes in climate policy uncertainty and energy prices influence Bitcoin prices. Using the monthly data of CPU, GPEI, and BTC from 2013M10–2021M12, the findings show that CPU's increases and GPEI's decreases positively affect BTC in the short term. Specifically, CPU and GPEI's increase and decrease show significantly higher effects on BTC in the long term. The causality result shows bidirectional causality between BTC and CPU's increases/decreases, while unidirectional causality runs from GPEI's increases/decreases to BTC. These findings suggest that Bitcoin investors should be aware of the risks associated with climate policy uncertainty and fluctuations in energy prices, as these factors can significantly asymmetrically impact Bitcoin prices.
AB - This paper investigates the asymmetric effects of climate policy uncertainty (CPU) and the global price of energy index (GPEI) on Bitcoin prices. It applies the nonlinear ARDL method and the Granger causality test to examine how changes in climate policy uncertainty and energy prices influence Bitcoin prices. Using the monthly data of CPU, GPEI, and BTC from 2013M10–2021M12, the findings show that CPU's increases and GPEI's decreases positively affect BTC in the short term. Specifically, CPU and GPEI's increase and decrease show significantly higher effects on BTC in the long term. The causality result shows bidirectional causality between BTC and CPU's increases/decreases, while unidirectional causality runs from GPEI's increases/decreases to BTC. These findings suggest that Bitcoin investors should be aware of the risks associated with climate policy uncertainty and fluctuations in energy prices, as these factors can significantly asymmetrically impact Bitcoin prices.
UR - http://dx.doi.org/10.1016/j.igd.2023.100048
U2 - 10.1016/j.igd.2023.100048
DO - 10.1016/j.igd.2023.100048
M3 - Article
SN - 2949-7531
VL - 2
JO - Innovation and Green Development
JF - Innovation and Green Development
IS - 2
M1 - 100048
ER -