Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic
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Updated: Oct 16, 2025

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Published on: August 5, 2016
Francisco Jareño1, María de la O González1, Raquel López1
1Faculty of Economic and Business Sciences, University of Castilla-La Mancha, Albacete, Spain.
Abstract:
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 long-term results show a greater interdependence between oil and cryptocurrencies in periods of economic turbulence, such as the SARS-CoV-2 coronavirus crisis.
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