Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective
研究了2020年2月至2022年2月期间，比特币、BNB、以太币、泰达币和USD Coin这五种市值最大的加密货币能否对冲布伦特原油的极端价格波动，发现稳定币能最好地抵御油价下跌，但不能降低投资波动。
The article aims to verify whether cryptocurrencies can hedge extreme price movements in Brent crude oil. The COVID-19 pandemic revealed that oil prices are heavily influenced by economic uncertainty and the mobility factor. We analyse Brent crude oil prices from February 10, 2020, to February 10, 2022. We consider Bitcoin, BNB, Ether, Tether, and USD Coin, the top five cryptocurrencies by market capitalization, as possible hedges. We explore their potential to protect oil investments using two approaches. The first focuses on price movement, and the second one on minimizing portfolio volatility. We use three modelling techniques: asymmetric causality in prices, a threshold vector-autoregressive model for returns, and dynamic conditional correlation analysis. We show that while stablecoins provide the best protection against downward movements in oil prices, they do not reduce investment volatility.