The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
Does gold or Bitcoin hedge economic policy uncertainty?
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.
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Cites
1 retracted
RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?
Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2019.01.002 · Cited by 694
RetractedMeasuring Economic Policy Uncertainty*
Baker, S. R., Bloom, N., & Davis, S. J. (2016) · The Quarterly Journal of Economics · doi:10.1093/qje/qjw024 · Cited by 12,458
Is gold a safe haven? International evidence
Baur, D. G., & McDermott, T. K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2009.12.008 · Cited by 1,947
Bitcoin, gold and the dollar – A GARCH volatility analysis
Dyhrberg, A. H. (2016) · Finance Research Letters · doi:10.1016/j.frl.2015.10.008 · Cited by 1,544
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017) · Finance Research Letters · doi:10.1016/j.frl.2016.09.025 · Cited by 1,432
Urquhart, A. (2016) · Economics Letters · doi:10.1016/j.econlet.2016.09.019 · Cited by 1,338
Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
Bouri, E., Gupta, R., Tiwari, A. K., & Roubaud, D. (2017) · Finance Research Letters · doi:10.1016/j.frl.2017.02.009 · Cited by 815
The economics of Bitcoin and similar private digital currencies
Dwyer, G. P. (2015) · Journal of Financial Stability · doi:10.1016/j.jfs.2014.11.006 · Cited by 749
Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
Demir, E., Gozgor, G., Lau, C. K. M., & Vigne, S. A. (2018) · Finance Research Letters · doi:10.1016/j.frl.2018.01.005 · Cited by 693
Portfolio diversification with virtual currency: Evidence from bitcoin
Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.03.004 · Cited by 631
Cited by
Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis
Goodell, J. W., & Goutte, S. (2021) · Finance Research Letters · doi:10.1016/j.frl.2020.101625 · Cited by 474
Metadata
- Authors
- Wu, S., Tong, M., Yang, Z., & Derbali, A.
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2019-12
- Volume
- 31
- Pages
- 171-178
- ISSN
- 1544-6123 (ISSN-L)
- OpenAlex
- W2943884504
- Cited by
- 265
- References
- 24
- FWCI
- 43.02
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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