Does gold or Bitcoin hedge economic policy uncertainty?

By Shan Wu, M. Tong, Zhongyi Yang, Abdelkader Mohamed Sghaier Derbali. 2019

251 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/dfe99cba7d9f78f0d6f044437f565823cf0f96be

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. X. Vo
2. Afees A. Salisu
3. Ibrahim D. Raheem

In Information Systems

1. Afees A. Salisu
2. Ibrahim D. Raheem

Citations in the corpus

• Assessing the safe haven property of the gold market during COVID-19 pandemic (2021, background): “Some studies have also focused on non-crisis uncertainty such as economic uncertainty (Hood & Malik, 2013; Wu et al., 2019), and commodity price shock (Reboredo, 2013a; Salisu & Adediran, 2020).”