Bitcoin and gold prices: A fledging long-term relationship

Hélène Syed Zwick and Sarfaraz Ali Shah Syed

MPRA Paper from University Library of Munich, Germany

Abstract: This study applies threshold regression model in a bivariate framework to explore the nonlinear and long-term relationship among daily Bitcoin and gold prices over the period April 2010 to December 2018. Our empirical results are threefold: first, we show that gold is a significant predictor of Bitcoin prices. Second, we find evidence of a non-linear relationship between Bitcoin and gold prices characterized rather by a two-regime relationship with a structural break occurring in October 2017. Third, we explain the existence at before the break, there is statistically significant, negative but weak causality indicating that Bitcoin is a speculative asset. However, after the break, the relationship becomes positive and strong revealing the diversifier and hedge properties of Bitcoin.

Keywords: Bitcoin; gold prices; hedge; diversifier; structural break; threshold regression (search for similar items in EconPapers)
JEL-codes: C24 E42 G15 (search for similar items in EconPapers)
Date: 2019-01
New Economics Papers: this item is included in nep-mac and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:92512

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