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On the Potential Hedging Instruments Against Central Bank Digital Currency Uncertainty and Attention Indices

Author

Listed:
  • Javed Bin Kamal
  • Mark Wohar
  • Khaled Bin Kamal

    (East West University, Dhaka, Bangladesh)

Abstract

We study dynamic conditional correlations of Central Bank Digital Currency (CBDC) uncertainty and attention indices with US dollar futures, 1-year US government bond, and gold futures. We find that USD futures hedges CBDC uncertainty, while the US bond hedges the CBDC uncertainty index subsequent to 2019. Interestingly, gold does not hedge CBDC uncertainty. The CBDC attention index exerts a negative effect on the other assets. These results are important for portfolio management.

Suggested Citation

  • Javed Bin Kamal & Mark Wohar & Khaled Bin Kamal, 2024. "On the Potential Hedging Instruments Against Central Bank Digital Currency Uncertainty and Attention Indices," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 5(2), pages 1-7.
    • Handle: RePEc:ayb:jrnael:96
    DOI: 2024/06/28
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    References listed on IDEAS

    as
    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
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    More about this item

    Keywords

    Central bank digital currency uncertainty and attention indices; US dollar futures; Gold; 1-year US government bond;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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