 “Digital Gold” and geopoliticsRefk Selmi, Jamal Bouoiyour () and Mark Wohar () Research in International Business and Finance, 2022, vol. 59, issue C Abstract: There is a growing empirical literature on Bitcoin and gold safe haven properties with respect to financial risks and macroeconomic news but very scarce literature regarding geopolitical risks. This paper provides a fresh insight into the Bitcoin safe haven status, in comparison to gold. We, first, propose a geopolitical risk composite indicator based on various sources of geopolitical risks. A Principal Component Analysis is conducted to group the information on these indicators. Second, a dynamic Markov-switching copula model (which accommodates a dynamic link between the developed geopolitical risk index and Bitcoin and gold price dynamics within low and high risk regimes) is used. We show that both Bitcoin and gold respond positively to the composite geopolitical risk indicator when risk is high. This underscores that both Bitcoin and gold have the ability to act as safe havens for assets whose valuations plummet during times of violent geopolitical conflicts. But such properties seem to be conditional upon different categories of geopolitical risks. Keywords: Bitcoin; Gold; Geopolitical risks; Safe haven; Principal component analysis; Dependence switching copula model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001331 DOI: 10.1016/j.ribaf.2021.101512 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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