Can cryptos hedge against inflation? Evidence from biwavelet analysis
This paper aims to explore the role of cryptocurrencies as an effective hedging tool against inflation across different investment horizons. Specifically, we investigate the co-movement between the Consumer Price Index (CPI) in the US, Euro, and Japan, and the returns as well as volatilities of four...
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| Format: | Article |
| Language: | English |
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HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE
2024-10-01
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| Series: | Ho Chi Minh City Open University Journal of Science - Economics and Business Administration |
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| Online Access: | https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/3109 |
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| _version_ | 1841527098982793216 |
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| author | Thai Hong Le Duc Anh Nguyen Dung Anh Le |
| author_facet | Thai Hong Le Duc Anh Nguyen Dung Anh Le |
| author_sort | Thai Hong Le |
| collection | DOAJ |
| description | This paper aims to explore the role of cryptocurrencies as an effective hedging tool against inflation across different investment horizons. Specifically, we investigate the co-movement between the Consumer Price Index (CPI) in the US, Euro, and Japan, and the returns as well as volatilities of four key cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple). In doing so, we adopt the biwavelet coherence framework using monthly data spanning over the period from September 2015 to May 2023. Our results suggest that cryptocurrencies, except Ethereum, can serve as safe-haven and effective long-term hedging assets against inflation in the US and EU. On the other hand, Litecoin stands out as the only crypto that can effectively hedge assets in the medium term. In Japan, we observe significantly low to no co-movement between cryptocurrencies’ returns and the CPI, suggesting the usefulness of the sampled cryptocurrencies as diversifiers against inflation. Our findings thus have implications for not only investors seeking to diversify their portfolios and mitigate inflation risk but also policymakers navigating the evolving landscape of digital assets and inflation management strategies. |
| format | Article |
| id | doaj-art-5b9fc5f850b344b28d128db178d2961a |
| institution | Kabale University |
| issn | 2734-9314 2734-9586 |
| language | English |
| publishDate | 2024-10-01 |
| publisher | HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE |
| record_format | Article |
| series | Ho Chi Minh City Open University Journal of Science - Economics and Business Administration |
| spelling | doaj-art-5b9fc5f850b344b28d128db178d2961a2025-01-16T05:23:10ZengHO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCEHo Chi Minh City Open University Journal of Science - Economics and Business Administration2734-93142734-95862024-10-011519911510.46223/HCMCOUJS.econ.en.15.1.3109.20252266Can cryptos hedge against inflation? Evidence from biwavelet analysisThai Hong Le0Duc Anh Nguyen1Dung Anh Le2VNU University of Economics and Business, Vietnam National University Hanoi, HanoiVNU University of Economics and Business, Vietnam National University Hanoi, HanoiHo Chi Minh Communist Youth Union of Bac Giang City, Bac GiangThis paper aims to explore the role of cryptocurrencies as an effective hedging tool against inflation across different investment horizons. Specifically, we investigate the co-movement between the Consumer Price Index (CPI) in the US, Euro, and Japan, and the returns as well as volatilities of four key cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple). In doing so, we adopt the biwavelet coherence framework using monthly data spanning over the period from September 2015 to May 2023. Our results suggest that cryptocurrencies, except Ethereum, can serve as safe-haven and effective long-term hedging assets against inflation in the US and EU. On the other hand, Litecoin stands out as the only crypto that can effectively hedge assets in the medium term. In Japan, we observe significantly low to no co-movement between cryptocurrencies’ returns and the CPI, suggesting the usefulness of the sampled cryptocurrencies as diversifiers against inflation. Our findings thus have implications for not only investors seeking to diversify their portfolios and mitigate inflation risk but also policymakers navigating the evolving landscape of digital assets and inflation management strategies.https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/3109consumer price index (cpi)cryptocurrencyinflationsafe-havenwavelet coherence |
| spellingShingle | Thai Hong Le Duc Anh Nguyen Dung Anh Le Can cryptos hedge against inflation? Evidence from biwavelet analysis Ho Chi Minh City Open University Journal of Science - Economics and Business Administration consumer price index (cpi) cryptocurrency inflation safe-haven wavelet coherence |
| title | Can cryptos hedge against inflation? Evidence from biwavelet analysis |
| title_full | Can cryptos hedge against inflation? Evidence from biwavelet analysis |
| title_fullStr | Can cryptos hedge against inflation? Evidence from biwavelet analysis |
| title_full_unstemmed | Can cryptos hedge against inflation? Evidence from biwavelet analysis |
| title_short | Can cryptos hedge against inflation? Evidence from biwavelet analysis |
| title_sort | can cryptos hedge against inflation evidence from biwavelet analysis |
| topic | consumer price index (cpi) cryptocurrency inflation safe-haven wavelet coherence |
| url | https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/3109 |
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