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Comparing cryptocurrencies and gold - a system-GARCH-approach

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  • Jens Klose

    (Technische Hochschule Mittelhessen)

Abstract

This article investigates similarities and differences between gold and four cryptocurrencies (Bitcoin, Ethereum, Bitcoin Cash and Litecoin) with respect to four determinants. To do so, we estimate a system-GARCH-in-mean for the period starting 7/18/2014 at earliest until 7/12/2021. We find that, first, liquidity premia are almost always insignificant for both gold and cryptocurrencies. Second, volatility premia exist in either gold and cryptocurrencies. Third, the response of cryptocurrencies to exchange rate changes is more pronounced than for gold at least if developing countries are included. Fourth, gold exhibits a safe haven status, while cryptocurrencies do not. So according to our results those cannot be seen as a store of value but rather should be seen as speculative assets.

Suggested Citation

  • Jens Klose, 2022. "Comparing cryptocurrencies and gold - a system-GARCH-approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 653-679, December.
    • Handle: RePEc:spr:eurase:v:12:y:2022:i:4:d:10.1007_s40822-022-00218-4
    DOI: 10.1007/s40822-022-00218-4
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    Cited by:

    1. Adel Benhamed & Ahlem Selma Messai & Ghassen El Montasser, 2023. "On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?," Sustainability, MDPI, vol. 15(3), pages 1-21, January.
    2. Tiago E. Pratas & Filipe R. Ramos & Lihki Rubio, 2023. "Forecasting bitcoin volatility: exploring the potential of deep learning," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 285-305, June.

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    More about this item

    Keywords

    Cryptocurrencies; Gold; System-GARCH-in-mean;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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