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Cryptocurrencies as safe havens for geopolitical risk? A quantile analysis approach

Author

Listed:
  • Mo, Bin
  • Chen, Jiaru
  • Shi, Qinling
  • Zeng, Zichun

Abstract

In recent years, global geopolitical risk (GPR) events have had profound effects on economies and financial markets. This paper systematically analyzes the hedging capabilities of traditional safe-haven assets (gold, USD, and oil) in comparison to cryptocurrencies (Bitcoin, Ethereum, and Litecoin) under varying levels of GPR. Utilizing quantile analysis approaches, the study explores the dynamic nonlinear impacts of GPR on various assets and empirically analyzes the influence of key geopolitical events on asset markets. The findings reveal that cryptocurrencies have relatively weaker hedging functions in the context of geopolitical risks, while traditional safe-haven assets like gold, USD, and oil, demonstrate more consistent and robust hedging characteristics during periods of uncertainty. Notably, the correlation between GPR and asset prices is more pronounced under extreme market conditions. This research offers new asset allocation recommendations for investors and enhances the understanding of the hedging properties of cryptocurrencies.

Suggested Citation

  • Mo, Bin & Chen, Jiaru & Shi, Qinling & Zeng, Zichun, 2025. "Cryptocurrencies as safe havens for geopolitical risk? A quantile analysis approach," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000798
    DOI: 10.1016/j.najef.2025.102439
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    Keywords

    Safe havens; Cryptocurrencies; Geopolitical risk; Quantile analysis; Traditional assets;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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