Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244357 
Authors: 
Year of Publication: 
2021
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 28-2021
Publisher: 
Philipps-University Marburg, School of Business and Economics, Marburg
Abstract: 
This article investigates similarities and differences between gold and four cryptocurrencies (Bitcoin, Ethereum, Bitcoin Cash and Litecoin). To do so, we estimate a system-GARCH-in-mean with respect to four determinants for the period starting 7/18/2014 at earliest until 7/12/2021. We find that, first, liquidity premia are less important. Second, volatility premia exist in either gold and cryptocurrencies. Third, the response of cryptocurrencies to ex- change rate changes is more pronounced than for gold at least if developing countries are included. Fourth, gold exhibits a safe haven status, while cryp- tocurrencies do not. So those cannot be seen as a store of value but rather as speculative assets.
Subjects: 
Cryptocurrencies
Gold
System-GARCH-in-mean
JEL: 
E42
G15
C58
Document Type: 
Working Paper

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