传染病,地缘政治风险,加密货币和商品市场之间的动态联系:来自部分和多波波形分析的证据
Hanen Ben Ameur1, Fouad Jamaani1, Mohammed N Abu Alfoul2
1Department of Economics and Finance, Taif University, College of Business Administration, Taif, Saudi Arabia.
PloS one
|July 1, 2025
概括
比特币,原油和天然气对健康和地缘政治风险的反应各不相同. 黄金导致长期地缘政治不确定性,而比特币和石油更容易受到COVID-19等健康危机的影响.
科学领域:
- 金融经济学 金融经济学
- 计量经济学 计量经济学
- 风险管理 风险管理
背景情况:
- 金融市场与全球不确定性日益相互联系.
- 对于投资者和政策制定者来说,了解对各种风险的特定资产反应至关重要.
- 之前的研究还没有完全捕捉到主要资产和不同不确定性指数之间的动态,时间和频率相关的关系.
研究的目的:
- 分析原油,天然气,黄金和比特币与健康 (IDEMV) 和地缘政治 (GPR) 不确定性指数之间的共同运动.
- 调查这些资产对不同市场冲击的时间和频率变化的敏感性.
- 为投资组合多样化和危机管理策略提供见解.
主要方法:
- 先进的波段技术,包括波段功率光谱 (WPS),双波段一致性 (WCA),多波段一致性 (MWC) 和部分波段一致性 (PWC).
- 对2017年1月至2023年1月的数据进行分析.
- 检查资产对短期,中期和长期频率的反应.
主要成果:
- 比特币和西德克萨斯中等 (WTI) 原油对传染病股票市场波动跟踪器 (IDEMV) 的敏感度随时间变化而变化,特别是在短期和中期频率上.
- 黄金和天然气对地缘政治风险指数 (GPR) 的反应更强烈.
- 黄金导致长期地缘政治不确定性,而比特币和WTI更容易受到与健康有关的冲击. 俄罗斯-乌克兰冲突放大了GPR对比特币和天然气脆弱性的影响.
结论:
- 资产对健康和地缘政治风险的反应是动态的,并且取决于频率.
- 比特币和原油需要特定的危机应对框架,因为它们对与健康有关的事件很敏感.
- 黄金和天然气可以作为对地缘政治不确定性进行投资组合多样化的弹性资产.
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