Abstract
This study examines the co-movement between geopolitical risk (GPR), energy price, and bitcoin (BTC) in BRICS countries, namely Brazil, Russia, India, China, and South Africa. Previous studies have focused on the impact of GPR on the volatility and risk premium of BTC investment. However, very limited studies have focused on integrating BTC as an extension of the mix of GPR on the co-movement with energy price. The analysis is based on monthly data of GPR index for BRICS countries, brent oil futures, natural gas futures and BTCs covering the period between March 2012 and Jun 2021. We employ the Bayesian graphical structural vector autoregressive model and time-varying parameter vector autoregressions-based dynamic connectedness to investigate the network-dependence structure. This research project provides useful empirical evidence for assessing the impact of both BTC and GPR on energy prices. Nonetheless, it will also be informative about the likelihood of co-movements occurring at different stages.
| Original language | English |
|---|---|
| Pages (from-to) | 2631-2645 |
| Number of pages | 15 |
| Journal | Emerging Markets Finance and Trade |
| Volume | 60 |
| Issue number | 12 |
| Early online date | 3 Apr 2024 |
| DOIs | |
| Publication status | Published - 25 Sept 2024 |
Keywords
- Bayesian graphical structural vector autoregressive model
- bitcoin
- dynamic connectedness
- geopolitical risk
- Oil prices