Abstract
Calculating the hedge and safe-haven properties of gold and Bitcoin via GARCH model and quantile regression with dummy variables. We find that: (1) Neither gold nor Bitcoin can serve as a strong hedge or safe-haven for economic policy uncertainty (EPU) at the average condition. (2) Bitcoin is more responsive to EPU shocks, while gold maintains stability with smaller hedge and safe-haven coefficients. (3) In most cases, both gold and Bitcoin can act as the weak hedge and weak safe-haven against EPU during the extreme bearish and bullish markets, which two can be considered for portfolio diversification during the normal market.
Original language | English |
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Pages (from-to) | 171-178 |
Number of pages | 8 |
Journal | Finance Research Letters |
Volume | 31 |
DOIs | |
Publication status | Published - Dec 2019 |
Externally published | Yes |
Keywords
- Bitcoin
- EPU
- Gold
- Hedge
- Quantile regression
- Safe-haven