Author(s)

Hélène Syed Zwick¹, Sarfaraz Ali Shah Syed^2*

¹ESLSCA Business School, Giza, Egypt.
²Department of Economics, Faculty of Business, American University in Cairo, Cairo, Egypt.

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.

BitCoin, Gold Prices, Structural Break, Threshold Regression

Zwick, H. and Syed, S. (2019) Bitcoin and Gold Prices: A Fledging Long-Term Relationship. Theoretical Economics Letters, 9, 2516-2525. doi: 10.4236/tel.2019.97159.