文章基本信息

标题：Bitcoin and Gold Prices: A Fledging Long-Term Relationship
本地全文：下载
作者：Hélène Syed Zwick ; Sarfaraz Ali Shah Syed
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2019
卷号：9
期号：7
页码：2516-2525
DOI：10.4236/tel.2019.97159
出版社：Scientific Research Publishing
摘要：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..
关键词：BitCoin;Gold Prices;Structural Break;Threshold Regression