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Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?
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| Veröffentlicht in: | Journal of capital markets studies 4(2020), 1, Seite 77-102 |
|---|---|
| Personen und Körperschaften: | , , , , |
| Titel: | Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?/ Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa, Ahmed K. Elnagar, Ali Lamouchi |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2020
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| Gesamtaufnahme: |
: Journal of capital markets studies, 4(2020), 1, Seite 77-102
, volume:4 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| 520 | |a Purpose This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018. Design/methodology/approach To assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018. Findings The authors' results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises. Originality/value This study is a crucial topic for policymakers and portfolio risk managers. | ||
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| contents | Purpose This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018. Design/methodology/approach To assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018. Findings The authors' results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises. Originality/value This study is a crucial topic for policymakers and portfolio risk managers. |
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| spelling | Derbali, Abdelkader VerfasserIn aut, Fed and ECB which is informative in determining the DCC between bitcoin and energy commodities? Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa, Ahmed K. Elnagar, Ali Lamouchi, 2020, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, Purpose This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018. Design/methodology/approach To assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018. Findings The authors' results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises. Originality/value This study is a crucial topic for policymakers and portfolio risk managers., DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/, Aufsatz in Zeitschrift DE-206, Jamel, Lamia VerfasserIn aut, Ltaifa, Monia Ben VerfasserIn (DE-588)1164616617 (DE-627)1028985142 (DE-576)510099149 aut, Elnagar, Ahmed K. VerfasserIn aut, Lamouchi, Ali VerfasserIn aut, Enthalten in Journal of capital markets studies Bingley : Emerald, 2017 4(2020), 1, Seite 77-102 Online-Ressource (DE-627)1013853148 (DE-600)2919974-8 (DE-576)49981424X 2514-4774 nnns, volume:4 year:2020 number:1 pages:77-102, https://www.emerald.com/insight/content/doi/10.1108/JCMS-07-2020-0022/full/pdf?title=fed-and-ecb-which-is-informative-in-determining-the-dcc-between-bitcoin-and-energy-commodities Verlag kostenfrei, https://doi.org/10.1108/JCMS-07-2020-0022 Resolving-System kostenfrei, https://doi.org/10.1108/JCMS-07-2020-0022 LFER, https://www.emerald.com/insight/content/doi/10.1108/JCMS-07-2020-0022/full/pdf?title=fed-and-ecb-which-is-informative-in-determining-the-dcc-between-bitcoin-and-energy-commodities LFER, LFER 2021-02-08T16:51:44Z |
| spellingShingle | Derbali, Abdelkader, Jamel, Lamia, Ltaifa, Monia Ben, Elnagar, Ahmed K., Lamouchi, Ali, Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?, Purpose This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018. Design/methodology/approach To assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018. Findings The authors' results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises. Originality/value This study is a crucial topic for policymakers and portfolio risk managers., Aufsatz in Zeitschrift |
| title | Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities? |
| title_auth | Fed and ECB which is informative in determining the DCC between bitcoin and energy commodities? |
| title_full | Fed and ECB which is informative in determining the DCC between bitcoin and energy commodities? Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa, Ahmed K. Elnagar, Ali Lamouchi |
| title_fullStr | Fed and ECB which is informative in determining the DCC between bitcoin and energy commodities? Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa, Ahmed K. Elnagar, Ali Lamouchi |
| title_full_unstemmed | Fed and ECB which is informative in determining the DCC between bitcoin and energy commodities? Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa, Ahmed K. Elnagar, Ali Lamouchi |
| title_in_hierarchy | Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities? / Abdelkader Derbali, Lamia Jamel, Monia Ben Ltaifa, Ahmed K. Elnagar, Ali Lamouchi, |
| title_short | Fed and ECB |
| title_sort | fed and ecb which is informative in determining the dcc between bitcoin and energy commodities |
| title_sub | which is informative in determining the DCC between bitcoin and energy commodities? |
| topic | Aufsatz in Zeitschrift |
| topic_facet | Aufsatz in Zeitschrift |
| url | https://www.emerald.com/insight/content/doi/10.1108/JCMS-07-2020-0022/full/pdf?title=fed-and-ecb-which-is-informative-in-determining-the-dcc-between-bitcoin-and-energy-commodities, https://doi.org/10.1108/JCMS-07-2020-0022 |