Does gold or Bitcoin hedge economic policy uncertainty?

【Author】 Wu, Shan; Tong, Mu; Yang, Zhongyi; Derbali, Abdelkader

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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.

【Keywords】Gold; Bitcoin; Hedge; Safe-haven; Quantile regression; EPU

【发表时间】2019 DEC

【收录时间】2022-01-02

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