Gold and the herd of Cryptos: saving oil in blurry times
Gold and the herd of Cryptos: saving oil in blurry times
This paper assesses the effectiveness of a broad set of 1066 active and continuously traded cryptocurrencies as a safe haven instrument against extreme oil price movements, in comparison to the corresponding roles of gold. The uncertainty for the oil market during the COVID-19 pandemic and the subsequent Russia–Ukraine conflict set the tone for natural experiments for our study. We use a trail-blazing dynamic generalized autoregressive score model to estimate the tail riskiness of the potential safe haven assets from January 1, 2020, to September 30, 2022. By estimating the risk exposure of all cryptocurrency assets, we determine top ten safest assets for investment. Our results show the emergence of new safe haven cryptocurrencies, which have previously been ignored by the academic literature and policy makers alike. Intriguingly, our findings reveal that gold has been replaced by altcoins as the safest assets during both the COVID-19 pandemic and the Russia–Ukraine conflict. At this instance, our findings suggest that Bitcoin provides lengthier safe haven properties than gold for oil returns in both periods. However, the safe haven properties of gold and cryptocurrencies are time varying. Last but not least, we introduce a new Cryptocurrency Tail Risk Index (CTRI) that captures the risk exposure of cryptocurrency market, as a whole. Our results suggest that investment in numerous cryptocurrencies provides lengthier safe haven properties than investing in gold alone.
Cryptocurrency tail risk index, Generalized autoregressive score, Gold, Oil market, Safe haven assets, Tail risk
Enilov, Martin
a33a63d6-b26a-4ab5-88bb-d92151983cde
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
June 2023
Enilov, Martin
a33a63d6-b26a-4ab5-88bb-d92151983cde
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Enilov, Martin and Mishra, Tapas
(2023)
Gold and the herd of Cryptos: saving oil in blurry times.
Energy Economics, 122 (106690), [106690].
(doi:10.1016/j.eneco.2023.106690).
Abstract
This paper assesses the effectiveness of a broad set of 1066 active and continuously traded cryptocurrencies as a safe haven instrument against extreme oil price movements, in comparison to the corresponding roles of gold. The uncertainty for the oil market during the COVID-19 pandemic and the subsequent Russia–Ukraine conflict set the tone for natural experiments for our study. We use a trail-blazing dynamic generalized autoregressive score model to estimate the tail riskiness of the potential safe haven assets from January 1, 2020, to September 30, 2022. By estimating the risk exposure of all cryptocurrency assets, we determine top ten safest assets for investment. Our results show the emergence of new safe haven cryptocurrencies, which have previously been ignored by the academic literature and policy makers alike. Intriguingly, our findings reveal that gold has been replaced by altcoins as the safest assets during both the COVID-19 pandemic and the Russia–Ukraine conflict. At this instance, our findings suggest that Bitcoin provides lengthier safe haven properties than gold for oil returns in both periods. However, the safe haven properties of gold and cryptocurrencies are time varying. Last but not least, we introduce a new Cryptocurrency Tail Risk Index (CTRI) that captures the risk exposure of cryptocurrency market, as a whole. Our results suggest that investment in numerous cryptocurrencies provides lengthier safe haven properties than investing in gold alone.
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Gold and the herd of Cryptos: Saving oil in blurry times
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Accepted/In Press date: 11 April 2023
e-pub ahead of print date: 20 April 2023
Published date: June 2023
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© 2023 The Authors
Keywords:
Cryptocurrency tail risk index, Generalized autoregressive score, Gold, Oil market, Safe haven assets, Tail risk
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Local EPrints ID: 476886
URI: http://eprints.soton.ac.uk/id/eprint/476886
ISSN: 0140-9883
PURE UUID: b45a3179-6faf-475d-80b8-df63a5ec7f5e
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Date deposited: 18 May 2023 16:58
Last modified: 17 Mar 2024 04:13
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Author:
Martin Enilov
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