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Bitcoin and Gold Prices: A Fledging Long-Term Relationship
ESLSCA Business School, Giza, Egypt
Department of Economics, Faculty of Business, American University in Cairo, Cairo, Egypt
- 1 ESLSCA Business School, Giza, Egypt
- 2 Department of Economics, Faculty of Business, American University in Cairo, Cairo, Egypt
Theoretical Economics Letters·Volume 09 (2019)·Pages 2516–2525·Published 29 August 2019·DOI10.4236/tel.2019.97159
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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.
KeywordsBitCoinGold PricesStructural BreakThreshold Regression
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