دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 10 2 2022 06 22 Investigating the Impact of Covid-19 on the Relationship between Cryptocurrencies and Oil Price Shocks Using the Non-Linear Autoregressive Distributed Lag (NARDL) Approach تأثیر همه‌گیری کووید 19 بر رابطۀ بین بازار رمزارزها و شوک‌های قیمتی نفت (رویکرد خودرگرسیون با وقفه‌های توزیعی غیرخطی) 121 148 26999 10.22108/amf.2022.134421.1750 FA علی رضازاده استادیار، گروه اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران شهاب جهانگیری استادیار، گروه اقتصاد، دانشکدۀ اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران یعقوب فهیدآذر دانشجوی دکتری اقتصاد مالی، گروه اقتصاد و مدیریت، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران وحید نیک پی پسیان دانشجوی دکتری توسعه اقتصادی، گروه اقتصاد و مدیریت، دانشکدۀ اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران Journal Article 2022 07 15 This study analyzed the potential nonlinear relationship between oil price shocks and the returns of leading cryptocurrencies. The present research used the price shocks of oil supply, demand, and risk. The Non-Linear Autoregressive Distributed Lag (NARDL) approach was utilized to examine the relationship between these price shocks and the returns of leading cryptocurrencies between December 8, 2019 and December 8, 2021. The results indicated that the supply shocks were most related to the returns of cryptocurrencies analyzed, especially in the pre-epidemic period of Covid-19. In addition, the short-term and long-term results of the price relationship between oil and cryptocurrencies in times of economic crisis was not stated contrary to previous forecasts. In other words, the returns of cryptocurrencies did not show the same behavior affected by the oil price pattern over time and might even work in the opposite direction. On the other hand, the dramatic growth of cryptocurrencies in many countries had led governments and policymakers to be aware of the potentially significant impact of oil prices on the stability of the cryptocurrency market. Therefore, the present study revealed a new path for policymakers to recognize the states of economy in the countries in the early stages of these cryptocurrencies and pay attention to the impact of oil price factors on the stability of this market.<br /><strong>Keywords</strong>: Cryptocurrencies, Non-Linear Autoregressive Distributed Lag (NARDL), Crude oil prices, COVID-19.<br /><strong> </strong><br /><strong>Introduction</strong><br />In the international markets, financial variables can be volatile and may affect each other, especially in times of crisis. The outbreak of Covid-19 began in China in 2019 and spread to many countries of the world, creating a crisis not only in the global health system, but also in the international financial markets and economy. Hence, the cryptocurrency market saw the largest weekly drop in the price of Bitcoin (approximately 36%) in March 13, 2020. In addition, the price of a barrel of WTI crude oil turned negative for the first time in history; thus, changes in oil price may be a key factor in cryptocurrency uncertainty. Therefore, the study of oil price variations may be crucial for investors, companies, and resource policymakers. They can mainly focus their analyses on the impact of oil price fluctuations on other financial markets, such as the cryptocurrency market. Thus, the main objective of this research was to analyze the impact produced by the SARS-CoV-2 coronavirus pandemic on the interconnection between changes in the crude oil price and the cryptocurrency market. There were two notable findings from our study on this subject. First, we found that there was consistent evidence of a significant relationship between supply-side oil shocks and cryptocurrency over the COVID-19 subperiod. Furthermore, our results confirmed that the cryptocurrency markets were strongly affected by supply shocks and oil price risk during the COVID-19 subperiod, which was inconsistent with the results of the previous findings. Second, the results of the empirical analysis showed that the response of cryptocurrency to oil market shocks was quite homogeneous among cryptocurrencies.<br /><strong> </strong><br /><strong>Method and Data</strong><br />The data used in this study included the daily returns of 8 driving cryptocurrencies on the market value: Bitcoin (BTC), Ethereum (ETH), Binance Coin (BNB), Tether (USDT), Cardano (ADA), XRP, Tether (USDT), and Dogecoin (DOGE). These assets were selected from the high market value cryptocurrencies until December 2021. The sample period of this work extended from December 8, 2019 to December 8, 2021, which ultimately yielded 733 daily data observations. In this research, the integrated method proposed by Reddy (2018) was used to decompose the oil price shocks into Risk Shock (RS), Demand Shock (DS), and Supply Shock (SS). Finally, the Nonlinear Autoregressive Distributed Lag (NARDL) model was applied to analyze the relationship between the oil price shocks and the returns of leading cryptocurrencies.<br /><strong> </strong><br /><strong>Findings</strong><br />The results showed that there was a higher degree of interconnection between oil price shocks and cryptocurrency returns in periods of crisis. The results were as follows: First, a positive and convergent long-run relationship was found between most cryptocurrency returns and oil price changes, especially in the components of supply and risk shocks, in the sub-period of crisis caused by the Covid-19 pandemic. Second, the cointegration equations showed that the cryptocurrency returns tended to have the same responses to the positive and negative changes in crude oil price returns with very few exceptions. Third, there was evidence of the long-term asymmetric impact of different oil price shocks on the returns of the cryptocurrencies analyzed for the 3 considered periods. Fourth, we also found a statistically significant effect of the cumulative sum of oil price changes on cryptocurrency returns, which was especially relevant to the supply-side shocks in all the periods and especially in the COVID-19 sub-period.<br /><strong> </strong><br /><strong>Conclusion and discussion </strong><br />These results showed evidence of the different effects of changes in the oil price on the returns of the virtual currencies included in the study depending on the market situation. The results of the present study can be of great importance for both investors and policymakers. On the one hand, as mentioned earlier, the high level of correlation between Ethereum and oil shocks compared to the other cryptocurrencies and the pandemic crisis is obvious to the investors and portfolio managers. On the other hand, with the growing popularity of cryptocurrencies in many countries, governments and policymakers should be aware of the possible significant impact of crude oil price returns, especially supply-side shocks and risk shocks, on the stability of the cryptocurrency market. In addition, it should be considered that the source of changes in crude oil prices may change in the long term; therefore, the recent forecasts from the world energy show that global oil demand will no longer be as low as before so that supply-side shocks may have a long-term nature and lose their nature temporarily in times of crisis. پژوهش حاضر ارتباط بالقوۀ غیرخطی و نامتقارن را بین شوک‌های قیمتی نفت و بازدۀ رمزارزهای پیش‌رو تجزیه‌‌وتحلیل می‌کند. در این پژوهش با استفاده از شوک‌های قیمتی عرضه، تقاضا، ریسکی نفت و رویکرد خودرگرسیون غیرخطی با وقفه‌های توزیعی، ارتباط این شوک‌ها و بازدۀ 8 رمزارز پیش‌رو در بازۀ زمانی 8 دسامبر 2019 تا 8 دسامبر 2021 بررسی شده است. نتایج پژوهش حاکی از آن است که شوک‌های عرضه بیشترین ارتباط را با بازدۀ رمزارزهای تجزیه‌‌وتحلیل‌شده به‌ویژه در دورۀ قبل از همه‌گیری کووید-19 دارد. علاوه بر این، نتایج کوتاه‌مدت و بلندمدت، ارتباط قیمتی نفت و رمزارزها را در دوره‌های بحرانی اقتصادی به‌طور واضح برخلاف پیش‌بینی‌های قبلی بیان نمی‌کند. به ‌عبارتی ‌دیگر، بازدۀ رمزارزها همان رفتار متأثر از الگوی قیمتی نفت را در طول زمان از خود نشان نمی‌دهد و حتی شاید در جهت عکس نیز عمل کند. از سوی دیگر، رشد چشمگیر رمزارزها در بسیاری از کشورها، دولت‌ها و سیاست‌گذاران را بر این داشته است که از تأثیر جالب‌توجه احتمالی قیمت نفت بر ثبات بازار رمزارزها آگاهی یابند؛ از این رو، پژوهش حاضر، مسیری نو را برای سیاست‌گذاران به‌منظور شناخت موقعیت اقتصاد کشور در مراحل ابتدایی این رمزارزها و توجه به اثرگذاری عوامل قیمتی نفت بر ثبات این بازار آشکار می‌کند. https://amf.ui.ac.ir/article_26999_936ba82108f353408feb012bfc2e12c3.pdf