Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal Pub Date : 2024-03-29 DOI:10.1016/j.gfj.2024.100964

Mohammad Enamul Hoque , Mabruk Billah , Md Rafayet Alam , Aviral Kumar Tiwari

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引用次数: 0

Abstract

This study evaluates the potential of gold-backed cryptocurrencies, such as Tether Gold and PAX Gold, as a hedge and safe haven against global, regional, and categorical financial stresses. Hedge and safe haven properties of gold-backed cryptocurrencies are also compared with those of gold and Bitcoin. For the analyses, dynamic conditional correlation (DCC) and quantile coherency techniques are applied to daily data from February 2020 to March 2023. The results show that Tether Gold and PAX Gold are strong safe havens against the US and equity-valuation-related financial stress but weak safe havens against global financial stress. Tether Gold is a weak safe haven against credit-related financial stress as well. Tether Gold is a strong hedge against US financial stress but a weak hedge against aggregate financial stress of developed economies and that of emerging economies. In our sample, gold-backed cryptocurrencies usually outperform gold and Bitcoin as a hedge and safe haven against financial stresses. The Quantile coherency analysis shows that Tether Gold is a hedge against low to moderate financial stress and a safe haven against extreme financial stresses. These findings have important implications for investors, risk-managers and policy makers.

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黄金支持的加密货币：应对分类和区域金融压力的对冲工具

本研究评估了黄金支持的加密货币（如 Tether Gold 和 PAX Gold）作为全球、地区和特定金融压力的对冲和避风港的潜力。研究还将黄金支持的加密货币的对冲和避险属性与黄金和比特币的对冲和避险属性进行了比较。在分析中，对 2020 年 2 月至 2023 年 3 月的每日数据采用了动态条件相关性（DCC）和量子一致性技术。结果显示，Tether Gold 和 PAX Gold 是抵御美国和股票估值相关金融压力的强避风港，但却是抵御全球金融压力的弱避风港。Tether Gold也是信贷相关金融压力的弱避险工具。Tether Gold 对冲美国金融压力的能力较强，但对冲发达经济体和新兴经济体总体金融压力的能力较弱。在我们的样本中，作为金融压力的对冲和避风港，黄金支持的加密货币的表现通常优于黄金和比特币。量子一致性分析表明，Tether Gold 是中低金融压力下的对冲工具，也是极端金融压力下的避风港。这些发现对投资者、风险管理者和政策制定者具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Global Finance Journal BUSINESS, FINANCE-

CiteScore

7.30

自引率

13.50%

发文量

106

审稿时长

53 days

期刊介绍： Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.