Comparing cryptocurrencies and gold - a system-GARCH-approach

Jens Klose

Eurasian Economic Review, 2022, vol. 12, issue 4, No 3, 653-679

Abstract: Abstract This article investigates similarities and differences between gold and four cryptocurrencies (Bitcoin, Ethereum, Bitcoin Cash and Litecoin) with respect to four determinants. To do so, we estimate a system-GARCH-in-mean for the period starting 7/18/2014 at earliest until 7/12/2021. We find that, first, liquidity premia are almost always insignificant for both gold and cryptocurrencies. Second, volatility premia exist in either gold and cryptocurrencies. Third, the response of cryptocurrencies to exchange rate changes is more pronounced than for gold at least if developing countries are included. Fourth, gold exhibits a safe haven status, while cryptocurrencies do not. So according to our results those cannot be seen as a store of value but rather should be seen as speculative assets.

Keywords: Cryptocurrencies; Gold; System-GARCH-in-mean (search for similar items in EconPapers)
JEL-codes: C58 E42 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s40822-022-00218-4

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