Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach

The Quarterly Review of Economics and Finance - Tập 70 - Trang 203-213 - 2018
Qiang Ji1,2, Elie Bouri3, Rangan Gupta4, David Roubaud5
1Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing, 100190, China
2School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing, 100049, China
3USEK Business School, Holy Spirit University of Kaslik, P.O. Box 446, Jounieh, Lebanon
4Department of Economics, University of Pretoria, Pretoria, 0002, South Africa
5Montpellier Research in Management, Montpellier Business School, 2300 Avenue des Moulins, 34080, Montpellier, France

Tài liệu tham khảo

Ahern, 2014, The importance of industry links in merger waves, The Journal of Finance, 69, 527, 10.1111/jofi.12122 Awokuse, 2003, Vector autoregression, policy analysis, and directed graphs: An application to the US economy, Journal of Applied Economics, 6, 1, 10.1080/15140326.2003.12040583 Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47, 10.2307/2998540 Bai, 2003, Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1, 10.1002/jae.659 Balcilar, 2017, Can volume predict bitcoin returns? a quantiles-based approach, Economic Modelling, 64, 74, 10.1016/j.econmod.2017.03.019 Baur, 2017, Bitcoin: Medium of Exchange or speculative assets?, Journal of International Financial Markets, Institutions and Money. Bessler, 2003, The structure of interdependence in International stock markets, Journal of International Money and Finance, 22, 261, 10.1016/S0261-5606(02)00076-1 Böhme, 2015, Bitcoin: Economics, technology, and governance, Journal of Economic Perspective, 29, 213, 10.1257/jep.29.2.213 Bouoiyour, 2015, What does bitcoin look like?, Annals of Economics and Finance, 16, 449 Bouri, 2018, Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles, Quarterly Review of Economics and Finance, 10.1016/j.qref.2018.04.003 Bouri, 2017, On the hedge and safe haven properties of bitcoin: Is it really more than a diversifier?, Finance Research Letters, 20, 192, 10.1016/j.frl.2016.09.025 Bouri, 2017, Does bitcoin Hedge global uncertainty? evidence from wavelet-based quantile-in-quantile regressions, Finance Research Letters, 23, 87, 10.1016/j.frl.2017.02.009 Bouri, 2017, Bitcoin for energy commodities before and after the december 2013 crash: Diversifier, hedge or more?, Applied Economics, 50, 5063 Brière, 2015, Virtual currency, tangible return: Portfolio diversification with bitcoins, Journal of Asset Management, 16, 365, 10.1057/jam.2015.5 Brito, 2013 Cappiello, 2006, Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics, 4, 537, 10.1093/jjfinec/nbl005 Cheah, 2015, Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin, Economics Letters, 130, 32, 10.1016/j.econlet.2015.02.029 Cheung, 2015, Cryptocurrency bubbles: An application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices, Applied Economics, 47, 2348, 10.1080/00036846.2015.1005827 Ciaian, 2016, The digital agenda of virtual currencies: Can BitCoin become a global currency?, Information Systems and e-Business Management, 14, 883, 10.1007/s10257-016-0304-0 Ciaian, 2016, The economics of BitCoin price formation, Applied Economics, 48, 1799, 10.1080/00036846.2015.1109038 Cody, 1991, The role of commodity prices in formulating monetary policy, Review of Economics and Statistics, 73, 358, 10.2307/2109529 Dyhrberg, 2016, Hedging capabilities of bitcoin. Is it the virtual gold?, Finance Research Letters, 16, 139, 10.1016/j.frl.2015.10.025 EBA. 2014. “EBA Opinion on ‘Virtual Currencies’.” EBA/Op/2014/08, European Banking Authority. Engle, 2002, Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business & Economic Statistics, 20, 339, 10.1198/073500102288618487 European Central Bank, 2012, 1 Garcia, 2014, The digital traces of bubbles: Feedback cycles between socio-economic signals in the bitcoin economy, Journal of the Royal Society, Interface, 11, 10.1098/rsif.2014.0623 Hayes, 2017, Cryptocurrency value formation: An empirical study leading to a cost of production model for valuing bitcoin, Telematics and Informatics, 34, 1308, 10.1016/j.tele.2016.05.005 Ji, 2012, System analysis approach for the identification of factors driving crude oil prices, Computers and Industrial Engineering, 63, 615, 10.1016/j.cie.2011.07.021 Ji, 2015, Dynamic integration of world oil prices: A reinvestigation of globalization vs. Regionalization, Applied Energy, 155, 171, 10.1016/j.apenergy.2015.05.117 Ji, 2016, How Do China’s oil markets affect other commodity markets both domestically and internationally?, Finance Research Letters, 19, 247, 10.1016/j.frl.2016.08.009 Johansen, 1990, Maximum likelihood estimation and inference on cointegration – with application to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169, 10.1111/j.1468-0084.1990.mp52002003.x Kristoufek, 2013, BitCoin meets google trends and wikipedia: Quantifying the relationship between phenomena of the internet era, Scientific Reports, 3, 10.1038/srep03415 Lee, 2014, These four charts suggest that BitCoin will stabilize in the future, Washington Post Li, 2017, The technology and economic determinants of cryptocurrency exchange rates: The case of bitcoin, Decision Support Systems, 95, 49, 10.1016/j.dss.2016.12.001 Moore, 2013, Beware the middleman: Empirical analysis of bitcoin-exchange risk, 25 Nakamoto, 2008, Bitcoin: A Peer-to-Peer electronic cash system Pieters, 2017, Financial regulations and price inconsistencies across bitcoin markets, Information Economics and Policy, 39, 1, 10.1016/j.infoecopol.2017.02.002 Polasik, 2015, Price fluctuations and the use of bitcoin: An empirical inquiry, International Journal of Electronic Commerce, 20, 9, 10.1080/10864415.2016.1061413 Rogojanu, 2014, The issue of competing currencies. Case study–Bitcoin, Theoretical and Applied Economics, 21, 103 Sims, 1980, Macroeconomics and reality, Econometrica, 48, 1, 10.2307/1912017 Spirtes, 2000 Weber, 2016, Bitcoin and the legitimacy crisis of money, Cambridge Journal of Economics, 40, 17, 10.1093/cje/beu067 Yelowitz, 2015, Characteristics of bitcoin users: An analysis of google search data, Applied Economics Letters, 22, 1030, 10.1080/13504851.2014.995359 Yermack, 2013