Bitcoin and Gold Futures as Hedges against US Dollar
Abstract
This study examines the changes based on daily data of Bitcoin prices, gold futures prices and US dollar index over the period from 2010 to 2018 to verify whether Bitcoin and gold futures can be viewed as hedges against US dollar. The compound rate of returns of each asset has been calculated. Using the Vector Autoregressive model (VAR), the long-run relationship exists among Bitcoin, gold futures and US dollar index. Gold futures price is a lag factor for Bitcoin price fluctuation, and US dollar index leads to significant shock to gold futures price. The results suggest that Bitcoin and gold futures can be viewed as the good hedges against US dollar. Therefore, the investors can allocate their investments in these assets to diversify risks.