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Gold vs bitcoin: Who can resist panic in the U.S.?

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  • Su, Chi-Wei
  • Yang, Shengjie
  • Qin, Meng
  • Lobonţ, Oana-Ramona

Abstract

Comparing the safe-haven property of gold and bitcoin from the perspective of panic is significant to maximise returns for investors. The analysis utilises the TVP-SV-VAR system to recognise the changeable interrelationship among the volatility index (VIX), gold price (GP) and bitcoin price (BP). The conclusions highlight positive and negative influences from VIX to GP, where the positive one underlines that gold can resist panic in the U.S., but the negative one could not support this opinion mainly due to the value of U.S. dollars or the short-term existence of safe-haven capacity. VIX impacts BP negatively, highlighting that bitcoin can not resist panic in the U.S., and its hedging ability to avoid investors’ fear is much weaker than gold. In addition, there also exists a mediating effect of VIX on GP or BP, and these two markets are adversely affected by the value of U.S. dollars. Further, different time points with essential events and extreme undulations in VIX present various interrelationships among selected sequences. Under the growing global uncertainty, this analysis offers meaningful suggestions for investors and policymakers in the U.S. to avert potential risks and promote sound development.

Suggested Citation

  • Su, Chi-Wei & Yang, Shengjie & Qin, Meng & Lobonţ, Oana-Ramona, 2023. "Gold vs bitcoin: Who can resist panic in the U.S.?," Resources Policy, Elsevier, vol. 85(PA).
    • Handle: RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005913
    DOI: 10.1016/j.resourpol.2023.103880
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    More about this item

    Keywords

    Gold; Bitcoin; Panic; The United States; Time-dependent;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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