Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/308451 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] Eurasian Economic Review [ISSN:] 2147-429X [Volume:] 12 [Issue:] 4 [Publisher:] Springer International Publishing [Place:] Cham [Year:] 2022 [Pages:] 653-679
Publisher: 
Springer International Publishing, Cham
Abstract: 
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.
Subjects: 
Cryptocurrencies
Gold
System-GARCH-in-mean
JEL: 
E42
G15
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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