Are energy block chain currencies affected by the major US energy markets?

dc.contributor.authorGurrib, Ikhlaas
dc.date.accessioned2020-01-20T11:30:10Z
dc.date.available2020-01-20T11:30:10Z
dc.date.copyright2018
dc.date.issued2019
dc.descriptionThis work is licensed under Creative Commons License and full text is openly accessible in CUD Digital Repository. The version of the scholarly record of this article is published in International Journal of Energy Economics and Policy (2019), available online at: https://doi.org/10.32479/ijeep.7163en_US
dc.description.abstractWhile various economies have started to embark on a gradual shift towards renewable sources of energy, energy block chain based crypto currencies have emerged. The purpose of this study is to shed fresh light into whether an energy commodity price index (ENFX) and energy block chain based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Using principal component analysis over daily data of crude oil, heating oil, natural gas, and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only the lagged ENCX was significant in estimating current ENFX values. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX, and one standard deviation shock in ENCX left ENFX unaffected. Both indices had 1 structural break on different dates. Overall findings suggest that while the ENFX and ENCX are good representative of commodity energy prices and energy block chain based cryptos respectively, the two markets are not robust determinants of each other. © 2018, Econjournals. All rights reserved.en_US
dc.identifier.citationGurrib, I. (2019). Are energy block chain currencies affected by the major US energy markets? International Journal of Energy Economics and Policy, 9(1), 218–227. https://doi.org/10.32479/ijeep.7163en_US
dc.identifier.issn21464553
dc.identifier.urihttps://doi.org/10.32479/ijeep.7163
dc.identifier.urihttps://hdl.handle.net/20.500.12519/10
dc.language.isoenen_US
dc.publisherEconjournalsen_US
dc.relationAuthor Affiliation: Gurrib, I., Faculty of Management, Canadian University Dubai, United Arab Emirates
dc.relation.ispartofseriesInternational Journal of Energy Economics and Policy; Volume 9, Issue 1
dc.rights Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
dc.rights.holderCopyright : © 2018, Econjournals. All rights reserved.
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectEnergy commodityen_US
dc.subjectEnergy crypto currenciesen_US
dc.subjectImpulse responseen_US
dc.subjectStructural breaken_US
dc.subjectVector autoregressiveen_US
dc.titleAre energy block chain currencies affected by the major US energy markets?en_US
dc.typeArticleen_US
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