Do conventional currencies hedge cryptocurrencies?

Syed Jawad Hussain Shahzad, Faruk Balli, Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif

Research output: Contribution to journalArticlepeer-review

Abstract

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.
Original languageEnglish
JournalQuarterly Review of Economics and Finance
DOIs
Publication statusPublished - 2 Feb 2021

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