The impact of bitcoin on gold, the volatility index (VIX), and dollar index (USDX): analysis based on VAR, SVAR, and wavelet coherence

Florin Aliu, Alban Asllani and Simona Hašková

Studies in Economics and Finance, 2023, vol. 41, issue 1, 64-87

Abstract: Purpose - Since 2008, bitcoin has continued to attract investors due to its growing capitalization and opportunity for speculation. The purpose of this paper is to analyze the impact of bitcoin (BTC) on gold, the volatility index (VIX) and the dollar index (USDX). Design/methodology/approach - The series used are weekly and cover the period from January 2016 to November 2022. To generate the results, the unrestricted vector autoregression (VAR), structural vector autoregression (SVAR) and wavelet coherence were performed. Findings - The findings are mixed as not all tests show the exact effects of BTC in the three asset classes. However, common to all the tests is the significant influence that BTC maintains on gold and vice versa. The positive shock in BTC significantly increases the gold prices, confirmed in three different tests. The effects on the VIX and USDX are still being determined, where in some tests, it appears to be influential while in others not. Originality/value - BTC’s diversification potential with equity stocks and USDX makes it a valuable security for portfolio managers. Furthermore, regulatory authorities should consider that BTC is not an isolated phenomenon and can significantly influence other asset classes such as gold.

Keywords: BTC; Gold; Volatility index; Dollar index; VAR; SVAR; Wavelet coherence; G11; G12 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-04-2023-0187

DOI: 10.1108/SEF-04-2023-0187

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