Do conventional currencies hedge cryptocurrencies?

【Author】 Shahzad, Syed Jawad Hussain; Balli, Faruk; Naeem, Muhammad Abubakr; Hasan, Mudassar; Arif, Muhammad

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】We examine the hedge and safe-haven properties of conventional currencies for four cryptocurrencies - Bitcoin, Ethereum, Ripple, and Litecoin. We extend the Baur and McDermott (2010) framework, where the safe-haven role is examined against reverse explosiveness in cryptocurrency prices. Our results suggest that the Japanese yen is the most consistent hedger for cryptocurrencies, followed by the British pound, Chinese yuan, and the Euro. All currencies, except the Euro, perform a safe-haven role for Bitcoin and its fork, Litecoin. The safe-haven potential of the Euro, Japanese Yen, and Chinese Yuan is also confirmed during the negative explosiveness periods of the cryptocurrency market. (C) 2021 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

【Keywords】Hedge; Safe-haven; Cryptocurrency; Currency

【发表时间】2022 AUG

【收录时间】2022-10-27

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币