The Uncertainty in Energy and Cryptocurrency Markets: Is Gold Really a Safe Haven?

In: The Manchester School

Abstract

ABSTRACTInvestigating gold's safe‐haven status is crucial to stabilising energy and cryptocurrency markets. To capture the dynamic relationships between energy‐related uncertainty (ERU), gold prices (GP), and cryptocurrency policy uncertainty (CPOU), this study employs the TVP‐SV‐VAR methodology. Through quantitative analysis, we find ERU has favourable and unfavourable effects on GP. The favourable impact underscores gold's safe‐haven role against energy market uncertainty. At the same time, the negative impact contradicts this view and theoretical models, likely due to the U.S. dollar's value and gold's hedging performance against other uncertainties. CPOU, however, positively impacts GP, supporting gold's safe‐haven characteristics against uncertainty in the cryptocurrency market and aligning with theoretical predictions. Gold's safe‐haven status in the cryptocurrency market is comparably more consistent but slightly less significant. Additionally, this study validates the findings by substituting CPOU with cryptocurrency price uncertainty (CPRU), confirming their robustness. Given the high volatility in energy and cryptocurrency markets, this article offers valuable insights for authorities to maximise profits and ensure stable growth.