Does gold or Bitcoin hedge economic policy uncertainty?

Shan Wu, Mu Tong, Zhongyi Yang and Abdelkader Derbali

Finance Research Letters, 2019, vol. 31, issue C, 171-178

Abstract: Calculating the hedge and safe-haven properties of gold and Bitcoin via GARCH model and quantile regression with dummy variables. We find that: (1) Neither gold nor Bitcoin can serve as a strong hedge or safe-haven for economic policy uncertainty (EPU) at the average condition. (2) Bitcoin is more responsive to EPU shocks, while gold maintains stability with smaller hedge and safe-haven coefficients. (3) In most cases, both gold and Bitcoin can act as the weak hedge and weak safe-haven against EPU during the extreme bearish and bullish markets, which two can be considered for portfolio diversification during the normal market.

Keywords: Gold; Bitcoin; Hedge; Safe-haven; Quantile regression; EPU (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (140)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:171-178

DOI: 10.1016/j.frl.2019.04.001

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