TITLE:
Bitcoin and Gold Prices: A Fledging Long-Term Relationship
AUTHORS:
Hélène Syed Zwick, Sarfaraz Ali Shah Syed
KEYWORDS:
BitCoin, Gold Prices, Structural Break, Threshold Regression
JOURNAL NAME:
Theoretical Economics Letters,
Vol.9 No.7,
October
11,
2019
ABSTRACT: This study applies threshold regression model in a
bivariate framework to explore the nonlinear long-term relationship among
Bitcoin and gold prices over the period 2010-2018. Results are threefold:
first, we show that gold is a significant predictor of Bitcoin prices. Second,
we find evidence of a non-linear relationship between Bitcoin and gold prices
characterized rather by a two-regime relationship with a structural break
occurring in October 2017. Third, before the break, there is significant,
negative but weak causality indicating that Bitcoin is a speculative asset.
After the break, the relationship becomes significantly positive revealing
diversifier and hedge properties of Bitcoin.