Comparing cryptocurrencies and gold - a system-GARCH-approach

Autor:	Jens Klose
Rok vydání:	2022
Zdroj:	Eurasian Economic Review. 12:653-679
ISSN:	2147-429X 1309-422X
DOI:	10.1007/s40822-022-00218-4
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2c793ef30d6d84a0fb0c7da4d6d0c1d7 https://doi.org/10.1007/s40822-022-00218-4 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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