Cryptocurrencies as safe havens for geopolitical risk? A quantile analysis approach

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-04-24 DOI:10.1016/j.najef.2025.102439

Bin Mo , Jiaru Chen , Qinling Shi , Zichun Zeng

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Abstract

In recent years, global geopolitical risk (GPR) events have had profound effects on economies and financial markets. This paper systematically analyzes the hedging capabilities of traditional safe-haven assets (gold, USD, and oil) in comparison to cryptocurrencies (Bitcoin, Ethereum, and Litecoin) under varying levels of GPR. Utilizing quantile analysis approaches, the study explores the dynamic nonlinear impacts of GPR on various assets and empirically analyzes the influence of key geopolitical events on asset markets. The findings reveal that cryptocurrencies have relatively weaker hedging functions in the context of geopolitical risks, while traditional safe-haven assets like gold, USD, and oil, demonstrate more consistent and robust hedging characteristics during periods of uncertainty. Notably, the correlation between GPR and asset prices is more pronounced under extreme market conditions. This research offers new asset allocation recommendations for investors and enhances the understanding of the hedging properties of cryptocurrencies.

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加密货币是地缘政治风险的避风港？分位数分析方法

近年来，全球地缘政治风险事件对经济和金融市场产生了深远的影响。本文系统分析了在不同GPR水平下，传统避险资产（黄金、美元和石油）与加密货币（比特币、以太坊和莱特币）的对冲能力。运用分位数分析方法，探讨探地雷达对各类资产的动态非线性影响，并实证分析重大地缘政治事件对资产市场的影响。研究结果显示，在地缘政治风险背景下，加密货币的对冲功能相对较弱，而黄金、美元和石油等传统避险资产在不确定时期表现出更一致和强大的对冲特征。值得注意的是，GPR与资产价格之间的相关性在极端市场条件下更为明显。这项研究为投资者提供了新的资产配置建议，并增强了对加密货币对冲特性的理解。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.