Does Bitcoin Hedge Industry Credit Risk? A Comparison with Gold
Credit default swaps are considered indicators of default probability and used to measure credit risk in different sectors of the US industry. This study examines the effectiveness of hedging and safe-haven options for US sectoral credit default swapindices, focusing on whether Bitcoin or gold can...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Lahore School of Economics
2024-11-01
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| Series: | The Lahore Journal of Business |
| Subjects: | |
| Online Access: | https://journals.lahoreschool.edu.pk/LJB/LJB/article/view/119 |
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| Summary: | Credit default swaps are considered indicators of default probability and used to measure credit risk in different sectors of the US industry. This study examines the effectiveness of hedging and safe-haven options for US sectoral credit default swapindices, focusing on whether Bitcoin or gold can serve as effective assets for mitigating credit risk in US industries. The GARCH model with dummy variables and quantile regression are employed to estimate the hedging and safe-haven properties of Bitcoin and gold. The findings indicate that both Bitcoin and gold can be utilized as effective hedging and safe haven assets for US industry credit risk. Furthermore, the study highlights the superior hedging potential and safe-haven properties of Bitcoin compared to gold. Overall, the results suggest that investors and portfolio managers can effectively utilize Bitcoin and gold to protect against credit risk in different US sectors, regardless of market and economic conditions.
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| ISSN: | 2223-0025 2791-3139 |