【Author】
Wen, Fenghua; Tong, Xi; Ren, Xiaohang
【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
【Abstract】This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.
【Keywords】Gold; Bitcoin; Safe haven; COVID-19; TVP-VAR model; Impulse response
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