Journal of Financial Economic Policy最新文献

{"title":"Economic policy uncertainty and spillovers in selected emerging market economies: time- and frequency-domain approach","authors":"Abigail Naa Korkor Adjei, George Tweneboah, Peterson Owusu Junior","doi":"10.1108/jfep-09-2023-0287","DOIUrl":"https://doi.org/10.1108/jfep-09-2023-0287","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This study aims to investigate the amount and direction of economic policy uncertainty (EPU) spillover among six emerging market economies (EMEs), and to also ascertain arguments on the increased volatilities of uncertainty in most EMEs.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>This study adopts a recent methodology developed by Baruník and Krehlík’s (2018) methodology to measure pairwise, composite and net spillover. This methodology helps investigate the size and direction of EPU spillover in EMEs. The unique feature of this methodology is its ability to capture frequency domain as well as time-frequency dynamics.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>Inter-country static spillover connectedness among the EPU of the selected EMEs show that Korea-EPU is the main transmitter and recipient of spillover shocks among the EMEs across all frequency bands. The findings from this study also show evidence of spillover between EPU, GDP and SPX across the EMEs. The time-varying total spillover index analysis shows evidence of overall connectedness across the selected EMEs. Overall connectedness is highest in the short term. We document that global economic and financial events intensify the volatility of the total spillover across the selected EMEs.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This study extends the literature on studies conducted on EMEs as studies on EPU spillover has mainly focused on advanced economies. To address the limitation of previous empirical studies that were unable to address the amount and direction of spillover from a country to other countries, this study offers new insight on country-specific spillover amounts and causal patterns “to” and “from” the selected EMEs. The findings throw more light on the network connectedness across EMEs and hence aids investors to undertake precise investment decisions and intelligently plan their portfolio diversification strategies. We then introduce two new variables to the analysis and record evidence of high connectedness between EPU, gross domestic product and share price index in all the frequency bands.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141496210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The heterogeneous effects of macroeconomic and financial factors on financial deepening in Africa: evidence from a method of moments quantile regression analysis","authors":"Bahati Sanga, Meshach Aziakpono","doi":"10.1108/jfep-07-2023-0199","DOIUrl":"https://doi.org/10.1108/jfep-07-2023-0199","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This paper aims to investigate the heterogeneous effects of macroeconomic and financial factors across various distributions of financial deepening in 22 African countries over the past two decades (2000–2019).</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The paper uses a recent method of moments quantile regression, which accounts for the often overlooked heterogeneity effects. The analysis focuses on the banking sector, which is predominant in Africa, using a broad range of macroeconomic and financial indicators.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The findings show that gross domestic product per capita positively and significantly impacts financing deepening with an increasing marginal benefit as depth increases. Trade openness positively and substantially affects only high financial deepening. Real interest rate, real exchange rate and inflations negatively and significantly affect financial deepening, especially at higher than lower levels. Financial stability positively and substantially influences financial deepening with an increasing marginal benefit as the depth increases. Bank lending interest rate, bank lending–deposit rate spread, bank concentration and return on equity negatively and substantially impact higher levels of financial deepening than lower levels.</p><!--/ Abstract__block -->\u0000<h3>Practical implications</h3>\u0000<p>These findings are crucial to policymakers and development partners, as promoting a favourable financial environment and stable macroeconomic policies based on the heterogeneity of financial depths can increase debt financing in Africa.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>To the best of the authors’ knowledge, this paper is one of the first attempts to analyse the heterogeneous effects of macroeconomic and financial determinants on varying levels of financial depth in Africa.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501903","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Social unrest and bank liquidity creation: evidence from MENA banks","authors":"Saibal Ghosh","doi":"10.1108/jfep-09-2023-0257","DOIUrl":"https://doi.org/10.1108/jfep-09-2023-0257","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>A host of studies have assessed the determinants of bank liquidity creation, highlighting the relevance of macroeconomic and microeconomic factors. However, whether and how social unrest impacts bank liquidity creation remains a moot issue. To inform this debate, this study aims to exploit bank-level data for Middle East and North Africa (MENA) countries covering the period 2010–2019 to assess the interlinkage between social unrest and bank liquidity creation.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>In view of the staggered inception of social unrest across MENA countries, the author uses a difference-in-differences specification to tease out the causal impact.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The findings reveal that the Arab Spring improves liquidity creation after onboarding after confounding factors. This impact differs across conventional and Islamic banks and differs across asset side (market) and liability side (funding) liquidity creation. The evidence also underscores the positive real effects of such liquidity creation on real economic output.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This is one of the early studies exploiting a large sample of MENA banks to examine this issue in a systematic manner.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141528837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The new monetary policy regime under central bank’s abundant balance sheet: the case of the Federal Reserve","authors":"Fotios Siokis","doi":"10.1108/jfep-08-2023-0235","DOIUrl":"https://doi.org/10.1108/jfep-08-2023-0235","url":null,"abstract":"Purpose\u0000The transmission of monetary policy has received considerable attention due to the sizable enlargement of the Federal Reserve’s balance sheet and consequently of the large reserve balances held by the Depository Institutions. This paper aims to investigate whether changes in the quantity of the reserve balances during the so-called normalization period and the COVID-19 crisis put significant pressure on short-term interest rates and specifically on the Effective Federal Funds rate (EFFR).\u0000\u0000Design/methodology/approach\u0000Under the new monetary policy regime, with two newly administered interest rates, the authors use the spread of the Federal Funds rates and the Interest on Reserve Balances (as a measure of the price of liquidity. With the means of various models such as the structural vector autoregression, the authors investigate, for two different subsample periods, the effectiveness of the monetary policy and the creation of (any) liquidity effects.\u0000\u0000Findings\u0000The results showed that when the Fed decreases its balance sheet size, during the normalization period, significant liquidity effects are present meaning that the authorities could influence the stage of the short-term interest rates under the new monetary policy regime. However, this relationship appears to weaken considerably as the level of reserve balances, particularly in response to the COVID-19 pandemic, increases substantially. The authors enriched the findings by highlighting the role of the benchmark repo rate. During the COVID-19 period, and in light of abundant reserve balances, the repo rate reacts more vigorously to a reduction in reserves, whereas an increase in the repo rate seems to exert a strong positive influence on the EFFR.\u0000\u0000Originality/value\u0000The findings are very important for the efficiency of the monetary transmission mechanism. An expanded balance sheet is still considered an arcane concept in regard to the structure and its effects on monetary policy implementation. This is one of the only few studies that investigates the effect of the abundant reserve balances on the short-term interest rates for two different in nature subsample periods. It shows as well the interplay between short-term interest rates, secured and unsecured.\u0000","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141356213","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Towards the recalibration of US dollar’s international dominance","authors":"Jamilu Iliyasu, Suleiman O. Mamman, A. Abubakar","doi":"10.1108/jfep-08-2023-0206","DOIUrl":"https://doi.org/10.1108/jfep-08-2023-0206","url":null,"abstract":"Purpose\u0000This paper aims to examine the impact of United States (US) financial sanctions on the international dominance of the US dollar.\u0000\u0000Design/methodology/approach\u0000The survival analysis technique, which incorporates survival and hazard probabilities to determine the probability of central banks' reserve recalibration, is adopted for analysis.\u0000\u0000Findings\u0000The result shows that the probability of central banks recalibrating the dollar share of their official reserve currencies would increase by 60% for every ten additional financial sanctions by the United States. This could imply that more sanctions might have unintended consequences on the international reserve currency dominance of the US dollar.\u0000\u0000Originality/value\u0000To the best of the authors’ knowledge, this study may be a novel attempt to use survival analysis to examine the impact of financial sanctions on the US dollar’s international reserve currency dominance.\u0000","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141372840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bank fundamental dynamics: the role of optimal bank management","authors":"Moch. Doddy Ariefianto, Tasha Sutanto, Cecilia Jesslyn","doi":"10.1108/jfep-04-2023-0094","DOIUrl":"https://doi.org/10.1108/jfep-04-2023-0094","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This study aims to investigate the dynamic relationships between profitability, credit risk, liquidity risk and capital in Indonesian banking industry.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>The authors use a panel vector autoregression model that incorporates macroeconomic variables: growth, interest rate, foreign exchange. The analysis is based on a monthly panel data set of 88 banks spanning from January 2012 to September 2021, which comprises 10,296 bank-month observations.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>Our key findings highlight (i) permanent credit cost and liquidity cost pass through practices, (ii) complementary function of liquidity and capital, (iii) earning management motivated asset write off and (iv) credit risk-liquidity risk neutrality. In addition, the authors observe that the banks demonstrated resilience to macroeconomic shocks.</p><!--/ Abstract__block -->\u0000<h3>Research limitations/implications</h3>\u0000<p>Our study have shown some interesting dynamic patterns of fundamentals; nevertheless, unified theoretical underpinning of the process is still unavailable. This should be an important future reasearch avenue.</p><!--/ Abstract__block -->\u0000<h3>Practical implications</h3>\u0000<p>The study brings significant implications for regulatory and supervisory practices aimed at enhancing the financial stability of banks.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>We conduct estimation of Indonesian banks system in dynamic perspective and perform impulses responses.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141252691","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The asymmetric impact of monetary policy and firm leverage on firm investment: some insights from Pakistan","authors":"Farooq Ahmad, Abdul Rashid, Anwar Shah","doi":"10.1108/jfep-05-2023-0124","DOIUrl":"https://doi.org/10.1108/jfep-05-2023-0124","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This paper aims to investigate whether negative and positive monetary policy (MP) shocks have asymmetric impacts on corporate firms’ investment decisions in Pakistan using firm-level panel data set. Moreover, the authors emphasized on symmetric effects of MP; the authors examine whether high-leverage and low-leverage firms respond differently to negative and positive unanticipated shocks in MP instruments.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>In contrast to the conventional framework of VAR, it uses an alternative methodology of Taylor rule to estimate unanticipated MP shocks. The two-step system-generalized method of movement (GMM) estimation method is applied to examine the effect of MP shocks on firm investment through leverage-based asymmetry.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The two-step system-GMM estimation results indicate that unanticipated negative changes (unfavorable shocks) in MP instruments have negative, significant effects on investment. In contrast, unanticipated positive changes (favorable shocks) have statistically insignificant impacts on firm investment. The results also reveal that firm leverage has a significant role in establishing the effect of unanticipated negative changes in MP instruments on investments. Finally, the results indicate that high-leverage firms respond more to negative changes than low-leverage firms. Yet, the results show that only low-leverage firms positively respond to unanticipated positive shocks in MP.</p><!--/ Abstract__block -->\u0000<h3>Practical implications</h3>\u0000<p>The findings of the paper suggest that MP authorities should pay due attention to the asymmetric effects of MP shocks on firm investment while designing MP. Because firm leverage has a significant influence on the effects of MP shocks, firm managers should take into account such role of leverage while deciding capital structure of their firms.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>First, unlike “Keynesian asymmetry” and most of published empirical research work, the authors use both unanticipated negative and positive MP shocks simultaneously. Departing from the conventional empirical literature, the authors differentiate between unanticipated positive and negative shocks in MP using the backward-looking Taylor rule. Second, the authors contribute to the existing literature by investigating the differential effects of positive and negative unanticipated MP shocks on firms’ investment decisions. Unlike the published studies that have emphasized on the symmetric effects of MP, the authors examine whether high-leverage and low-leverage firms respond differently to negative and positive unanticipated shocks in MP instruments.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196720","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Banking competition in Indonesia: does Fintech lending matters?","authors":"Salsa Dilla, Aidil Rizal Shahrin, Fauzi Zainir","doi":"10.1108/jfep-12-2023-0365","DOIUrl":"https://doi.org/10.1108/jfep-12-2023-0365","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>This paper aims to examine how the rise of financial technology (Fintech) lending affects bank competition. Moreover, this study also identifies the structure of Indonesian commercial banking sector and the different behaviour of competition among bank groups (based on their size, type and ownership) and the joint impact of COVID-19 due to the rise of Fintech lending.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>Using an unbalanced panel data set of 118 commercial banks in Indonesia over the period 2018–2022, both static panel and 2SLS/IV data analysis were used and found that random effect model is the best model.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The results show that the Indonesian commercial banking sector can be considered as monopolistic competition. Moreover, using the Lerner index reveals that the entry of the Fintech lenders increases bank competition. Furthermore, there were different responses to the impact of Fintech lending on bank competition among state-owned banks, private banks, regional development banks and foreign banks. Greater efficiency and stability lead to greater market power. In the meantime, higher level of asset growth, capitalisation and cost-to-income ratio increase the competition. Lastly, higher bank credit growth and lower inflation boost overall bank competitiveness.</p><!--/ Abstract__block -->\u0000<h3>Practical implications</h3>\u0000<p>This study highlights some policy recommendations for commercial banks to be aware of the coming of Fintech lenders because they have started to increase the market competition. The government should create a more collaborative ecosystem between banks and Fintech lending to anticipate unhealthy competition.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This study will contribute to the literature by expanding the determinants of bank competition by considering the rise of Fintech lending in the market.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141167650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial globalization, governance and economic growth in Sub-Saharan Africa","authors":"Audrey Afua Foriwaa Adjei, John Gartchie Gatsi, Michael Owusu Appiah, Mac Junior Abeka, Peterson Owusu Junior","doi":"10.1108/jfep-08-2023-0234","DOIUrl":"https://doi.org/10.1108/jfep-08-2023-0234","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>The study aims to assess the interplay between financial globalization, effective governance and economic growth in sub-Saharan African (SSA) economies.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>This study uses the Generalized Method of Moment Estimation and the Panel Quantile Regression techniques to analyze how financial globalization and governance impact sub-Saharan African economies.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>The results show that governance is vital to the region's economic development. In order to achieve significant growth, sub-Saharan African economies must prioritize actions that promote good governance.</p><!--/ Abstract__block -->\u0000<h3>Research limitations/implications</h3>\u0000<p>The study is limited to sub-Saharan African economies.</p><!--/ Abstract__block -->\u0000<h3>Practical implications</h3>\u0000<p>It is crucial for the sub-Saharan Africa economies to concentrate on strengthening governance frameworks in order to realize its full economic potential because improvements in governance quality would have a favorable effect on economic growth.</p><!--/ Abstract__block -->\u0000<h3>Social implications</h3>\u0000<p>The findings indicate that both capital inflows and governance dynamics are essential for fostering economic growth in SSA economies. Also, balancing globalization's benefits with effective governance is crucial for promoting sustainable growth in SSA.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>This paper fills a gap in literature by using the KOF financial globalization index to assess the impact of financial globalization and governance on economic growth in sub-Saharan African economies.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141167645","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"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","authors":"Yasmine Snene Manzli, Ahmed Jeribi","doi":"10.1108/jfep-12-2023-0386","DOIUrl":"https://doi.org/10.1108/jfep-12-2023-0386","url":null,"abstract":"<h3>Purpose</h3>\u0000<p>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.</p><!--/ Abstract__block -->\u0000<h3>Design/methodology/approach</h3>\u0000<p>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.</p><!--/ Abstract__block -->\u0000<h3>Findings</h3>\u0000<p>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.</p><!--/ Abstract__block -->\u0000<h3>Originality/value</h3>\u0000<p>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.</p><!--/ Abstract__block -->","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}