Safe Haven for Crude Oil: Bitcoin or Precious Metals? New Insight from Time Varying Coefficient-Vector Autoregressive Model

Ilyes Abidi and Kamel Touhami
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Ilyes Abidi: Applied College, University of Hail, Saudi Arabia
Kamel Touhami: Faculty of Economics and Management of Nabeul, University of Carthage, Tunisia

International Journal of Energy Economics and Policy, 2024, vol. 14, issue 1, 184-195

Abstract: This paper investigates the safe haven property of Bitcoin and the main precious metals in a state of crisis. This study focuses mainly on two critical periods, namely the COVID-19 health crisis and the Russian-Ukraine conflict. To achieve this objective, we first use the DCC-GARCH model to study the dynamic correlation between the returns of oil and the main precious metals. Then, we use a bivariate specification and a Bayesian specification to estimate the TVC-VAR model. The results of this study indicate the existence of similarity between Gold and Bitcoin in hedging capabilities. In fact, both have been weak havens during the COVID-19 health crisis and strong havens during the Russian-Ukrainian war period. On the other hand, the results suggest that ruthenium and iridium yields are uncorrelated or negatively correlated with Brent yields. In this respect, investors are called upon to keep their treasury in the form of iridium and ruthenium during this period of war. Similarly, investors were required to invest in these two assets during the COVID-19 period.

Keywords: Brent; Safe Haven; Bitcoin; Precious Metals; Spillover; Dynamic Conditional Correlation; Time Varying Coefficient-Vector Autoregressive Model (search for similar items in EconPapers)
JEL-codes: C11 C15 G1 O13 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2024-01-20

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