TY - JOUR
T1 - Do conventional currencies hedge cryptocurrencies?
AU - Shahzad, Syed Jawad Hussain
AU - Balli, Faruk
AU - Naeem, Muhammad Abubakr
AU - Hasan, Mudassar
AU - Arif, Muhammad
PY - 2021/2/2
Y1 - 2021/2/2
N2 - We examine the hedge and safe-haven properties of conventional currencies for four cryptocurrencies — Bitcoin, Ethereum, Ripple, and Litecoin. We extend the Baur and McDermott (2010) framework, where the safe-haven role is examined against reverse explosiveness in cryptocurrency prices. Our results suggest that the Japanese yen is the most consistent hedger for cryptocurrencies, followed by the British pound, Chinese yuan, and the Euro. All currencies, except the Euro, perform a safe-haven role for Bitcoin and its fork, Litecoin. The safe-haven potential of the Euro, Japanese Yen, and Chinese Yuan is also confirmed during the negative explosiveness periods of the cryptocurrency market.
AB - We examine the hedge and safe-haven properties of conventional currencies for four cryptocurrencies — Bitcoin, Ethereum, Ripple, and Litecoin. We extend the Baur and McDermott (2010) framework, where the safe-haven role is examined against reverse explosiveness in cryptocurrency prices. Our results suggest that the Japanese yen is the most consistent hedger for cryptocurrencies, followed by the British pound, Chinese yuan, and the Euro. All currencies, except the Euro, perform a safe-haven role for Bitcoin and its fork, Litecoin. The safe-haven potential of the Euro, Japanese Yen, and Chinese Yuan is also confirmed during the negative explosiveness periods of the cryptocurrency market.
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-85101359341&partnerID=MN8TOARS
U2 - 10.1016/j.qref.2021.01.008
DO - 10.1016/j.qref.2021.01.008
M3 - Article
SN - 1062-9769
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
ER -