 Can both Bitcoin and gold serve as safe-haven assets? — A comparative analysis based on the NARDL modelShaobo Long, Hongxia Pei, Hao Tian and Kun Lang International Review of Financial Analysis, 2021, vol. 78, issue C Abstract: This paper uses the nonlinear autoregressive distributed lag (NARDL) model to analyze the different performances of Bitcoin and gold under the impacts of three different uncertainties, namely global economic policy uncertainty (GEPU), US stock market volatility index (VIX) and the CBOE crude oil ETF volatility index (OVX). The results indicate that faced with shocks of different uncertainties, Bitcoin is unable to serve as a safe-haven, while gold can hedge against uncertainties to varying degrees. Moreover, the three types of uncertainties have asymmetric impacts on the prices of Bitcoin and gold respectively. The decrease of uncertainties has a greater impact on Bitcoin price than the increase, while the increase of uncertainties has a greater impact on gold price than the decrease. It suggests that investors are cautious and optimistic about Bitcoin, and gold remains unanimously recognized as the traditional safe-haven. Keywords: Bitcoin; Gold; Uncertainty; NARDL; Asymmetric effects (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:finana:v:78:y:2021:i:c:s1057521921002404 DOI: 10.1016/j.irfa.2021.101914 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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