Assessing Bitcoin, gold and gold-backed cryptocurrencies as safe havens for energy and agricultural commodities: insights from COVID-19, Russia–Ukraine conflict and SVB collapse

IF 1.3 Q3 ECONOMICS

Journal of Financial Economic Policy Pub Date : 2024-05-31 DOI:10.1108/jfep-12-2023-0386

Yasmine Snene Manzli, Ahmed Jeribi

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引用次数: 0

Abstract

Purpose

This paper aims to investigate the safe haven feature of Bitcoin, gold and two gold-backed cryptocurrencies (DGX and PAXG) against energy and agricultural commodities (crude oil, natural gas and wheat) during the COVID-19 pandemic, the Russia–Ukraine conflict and the Silicon Valley Bank (SVB) collapse.

Design/methodology/approach

The authors use the threshold GARCH (T-GARCH)-asymmetric dynamic conditional correlation (ADCC) model to evaluate the asymmetric dynamic conditional correlation between the return series and compare the diversifying, hedging and safe-haven ability of Bitcoin, gold and the two gold-backed cryptocurrencies (DGX and PAXG) against financial swings in the commodity market during the COVID-19 outbreak, the Russian–Ukrainian military conflict and SVB collapse. The authors also calculate the hedging ratios (HR) and hedging effectiveness index (HE). The authors finally use the wavelet coherence (WC) approach to check our results’ robustness and further investigate the impact of the three crises on the relationship between Bitcoin, gold gold-backed cryptocurrencies and commodities.

Findings

The results show that PAXG serves as a strong hedging instrument while gold, Bitcoin and DGX act as strong diversifiers during normal times. During crises, gold outperforms Bitcoin as a diversifier and a safe haven against commodities. Gold-backed cryptocurrencies also exhibit strong performance as diversifiers and safe havens. HR results indicate that Bitcoin and DGX are more cost-effective for commodities risk mitigation than gold and PAXG. In terms of hedging effectiveness, gold and PAXG emerge as the best hedging instruments for commodities, while DGX is considered the worst one. Bitcoin shows superior hedging against oil compared to wheat and gas risks. Moreover, the results of the WC approach confirm those of the T-GARCH-ADCC results in both the short and long run.

Originality/value

This paper provides a comprehensive analysis of the diversification ability of gold, Bitcoin and gold-backed cryptocurrencies during different crises (the COVID-19 pandemic, the Russia–Ukraine conflict and the SVB collapse). By taking into consideration gold-backed cryptocurrencies, the authors expand the understanding of safe havens beyond conventional assets.

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评估比特币、黄金和黄金支持的加密货币作为能源和农产品避风港的作用：从 COVID-19、俄乌冲突和 SVB 崩溃中得到的启示

目的本文旨在研究在 COVID-19 大流行、俄罗斯-乌克兰冲突和硅谷银行（SVB）倒闭期间，比特币、黄金和两种黄金支持的加密货币（DGX 和 PAXG）相对于能源和农产品（原油、天然气和小麦）的避风港特征。设计/方法/途径作者使用阈值 GARCH（T-GARCH）-非对称动态条件相关性（ADCC）模型来评估收益序列之间的非对称动态条件相关性，并比较比特币、黄金和两种黄金支持的加密货币（DGX 和 PAXG）在 COVID-19 爆发、俄乌军事冲突和硅谷银行倒闭期间对商品市场金融波动的分散、对冲和避险能力。作者还计算了对冲比率（HR）和对冲有效性指数（HE）。最后，作者使用小波一致性（WC）方法检验了我们结果的稳健性，并进一步研究了三次危机对比特币、黄金支持的加密货币和大宗商品之间关系的影响。在危机期间，黄金作为多样化工具和商品避风港的表现优于比特币。黄金支持的加密货币作为多样化工具和避风港也表现强劲。人力资源结果表明，在降低商品风险方面，比特币和 DGX 比黄金和 PAXG 更具成本效益。就对冲效果而言，黄金和 PAXG 是最好的商品对冲工具，而 DGX 被认为是最差的对冲工具。与小麦和天然气风险相比，比特币对石油的对冲效果更好。此外，WC 方法的结果证实了 T-GARCH-ADCC 方法在短期和长期的结果。原创性/价值本文全面分析了黄金、比特币和黄金支持的加密货币在不同危机（COVID-19 大流行病、俄罗斯-乌克兰冲突和 SVB 崩溃）期间的多样化能力。通过考虑黄金支持的加密货币，作者将对避风港的理解扩展到了传统资产之外。

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来源期刊

Journal of Financial Economic Policy ECONOMICS-

CiteScore

2.80

自引率

8.30%

发文量

期刊介绍： The Journal of Financial Economic Policy publishes high quality peer reviewed research on financial economic policy issues. The journal is devoted to the advancement of the understanding of the entire spectrum of financial policy and control issues and their interactions to economic phenomena. Economic and financial phenomena involve complex trade-offs and linkages between various types of risk factors and variables of interest to policy makers and market participants alike. Market participants such as economic policy makers, regulators, banking and competition supervisors, corporations and financial institutions, require timely and robust answers to the contemporary and emerging policy questions. In turn, such answers require thorough input by the academics, policy makers and practitioners alike. The Journal of Financial Economic Policy provides the forum to satisfy this need. The journal publishes and invites concise papers to enable a prompt response to current and emerging policy affairs.