This study applies threshold regression model in a bivariate framework to explore\nthe nonlinear long-term relationship among Bitcoin and gold prices\nover the period 2010-2018. Results are threefold: first, we show that gold is a\nsignificant predictor of Bitcoin prices. Second, we find evidence of a\nnon-linear relationship between Bitcoin and gold prices characterized rather\nby a two-regime relationship with a structural break occurring in October\n2017. Third, before the break, there is significant, negative but weak causality\nindicating that Bitcoin is a speculative asset. After the break, the relationship\nbecomes significantly positive revealing diversifier and hedge properties of\nBitcoin.
Loading....