Arbeitspapier
Cryptocurrencies and gold - Similarities and differences
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 28-2021
- Klassifikation
-
Wirtschaft
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
International Financial Markets
Financial Econometrics
- Thema
-
Cryptocurrencies
Gold
System-GARCH-in-mean
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Klose, Jens
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, School of Business and Economics
- (wo)
-
Marburg
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Klose, Jens
- Philipps-University Marburg, School of Business and Economics
Entstanden
- 2021
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