Papers by Raquel Gomez López
Resources Policy, 2021
This study explores potential non-linear and asymmetric interdependencies between oil price shock... more This study explores potential non-linear and asymmetric interdependencies between oil price shocks and leading cryptocurrency returns. In addition, this research splits changes in crude oil prices into three relevant components: risk, demand, and supply shocks. By applying the NARDL methodology, this paper examines the connection between oil and cryptocurrencies in the period between November 20, 2018 and June 30, 2020, conducting a study of the first wave of the COVID-19 pandemic. Our results confirm that demand shocks show the greatest connection with the returns of the cryptocurrencies analysed. In addition, both short-term and longterm results show a greater interdependence between oil and cryptocurrencies in periods of economic turbulence, such as the SARS-CoV-2 coronavirus crisis.
Uploads
Papers by Raquel Gomez López