Using precious metals to hedge cryptocurrency policy and price uncertainty

M. Kabir Hassan, Md. Bokhtiar Hasan and Md. Mamunur Rashid

Economics Letters, 2021, vol. 206, issue C

Abstract: This study discovers a new dimension by analyzing the time-varying correlations between the top four precious metals and cryptocurrency uncertainty indices (UCRY Policy and Price). Using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model, our findings show that gold, among the precious metals, exhibits a consistent positive correlation with both UCRY Policy and Price, suggesting that gold has a stable and reliable safe-haven property against cryptocurrency uncertainty. Thus, our research offers investors to diversify their portfolios by investing in gold when uncertainty stems from cryptocurrency markets.

Keywords: Cryptocurrency uncertainty; Hedge; Safe-haven; Precious metals (search for similar items in EconPapers)
JEL-codes: C22 D81 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176521002548
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002548

DOI: 10.1016/j.econlet.2021.109977

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().