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Safe Haven for Crude Oil: Bitcoin or Precious Metals? New Insight from Time Varying Coefficient-Vector Autoregressive Model

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  • Ilyes Abidi

    (Applied College, University of Hail, Saudi Arabia)

  • Kamel Touhami

    (Faculty of Economics and Management of Nabeul, University of Carthage, Tunisia)

Abstract

This paper investigates the safe haven property of Bitcoin and the main precious metals in a state of crisis. This study focuses mainly on two critical periods, namely the COVID-19 health crisis and the Russian-Ukraine conflict. To achieve this objective, we first use the DCC-GARCH model to study the dynamic correlation between the returns of oil and the main precious metals. Then, we use a bivariate specification and a Bayesian specification to estimate the TVC-VAR model. The results of this study indicate the existence of similarity between Gold and Bitcoin in hedging capabilities. In fact, both have been weak havens during the COVID-19 health crisis and strong havens during the Russian-Ukrainian war period. On the other hand, the results suggest that ruthenium and iridium yields are uncorrelated or negatively correlated with Brent yields. In this respect, investors are called upon to keep their treasury in the form of iridium and ruthenium during this period of war. Similarly, investors were required to invest in these two assets during the COVID-19 period.

Suggested Citation

  • Ilyes Abidi & Kamel Touhami, 2024. "Safe Haven for Crude Oil: Bitcoin or Precious Metals? New Insight from Time Varying Coefficient-Vector Autoregressive Model," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 184-195, January.
    • Handle: RePEc:eco:journ2:2024-01-20
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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.
    2. Bekiros, Stelios & Boubaker, Sabri & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2017. "Black swan events and safe havens: The role of gold in globally integrated emerging markets," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 317-334.
    3. Dirk G Baur & Kristoffer Glover, 2012. "The Destruction of a Safe Haven Asset?," Working Paper Series 174, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2015. "Does gold act as a hedge or a safe haven for stocks? A smooth transition approach," Economic Modelling, Elsevier, vol. 48(C), pages 16-24.
    5. Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
    6. Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
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    Cited by:

    1. Mirzat Ullah & Kazi Sohag & Farrukh Nawaz & Oleg Mariev & Umar Kayani & Igor Mayburov & Svetlana Doroshenko, 2024. "Impact of Oil Price Shocks on Crypto and Conventional Financial Assets during Financial Crises: Evidence from the Russian Financial Market," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 472-483, July.

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    More about this item

    Keywords

    Brent; Safe Haven; Bitcoin; Precious Metals; Spillover; Dynamic Conditional Correlation; Time Varying Coefficient-Vector Autoregressive Model;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G1 - Financial Economics - - General Financial Markets
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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