Does gold or Bitcoin hedge economic policy uncertainty?

Shan Wu, Mu Tong*, Zhongyi Yang, Abdelkader Derbali

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

170 Citations (Scopus)


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 languageEnglish
Pages (from-to)171-178
Number of pages8
JournalFinance Research Letters
Publication statusPublished - Dec 2019
Externally publishedYes


  • Bitcoin
  • EPU
  • Gold
  • Hedge
  • Quantile regression
  • Safe-haven


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