Cryptocurrencies and Gold - Similarities and Differences

Jens Klose

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: This article investigates similarities and differences between gold and four cryptocurrencies (Bitcoin, Ethereum, Bitcoin Cash and Litecoin). To do so, we estimate a system-GARCH-in-mean with respect to four determinants for the period starting 7/18/2014 at earliest until 7/12/2021. We find that, first, liquidity premia are less important. Second, volatility premia exist in either gold and cryptocurrencies. Third, the response of cryptocurrencies to exchange rate changes is more pronounced than for gold at least if developing countries are included. Fourth, gold exhibits a safe haven status, while cryptocurrencies do not. So those cannot be seen as a store of value but rather as speculative assets.

Keywords: Cryptocurrencies; Gold; System-GARCH-in-mean (search for similar items in EconPapers)
JEL-codes: C58 E42 G15 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2021
New Economics Papers: this item is included in nep-isf, nep-mac, nep-mon and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:202128

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