Bitcoin: An inflation hedge but not a safe haven

Sangyup Choi, Junhyeok Shin

Research output: Contribution to journalArticlepeer-review

25 Citations (Scopus)


During the recent COVID-19 pandemic, many commonalities shared by Bitcoin and gold raise the question of whether Bitcoin can hedge inflation or provide a safe haven as gold often does. By estimating a Vector Autoregression (VAR) model, we provide systematic evidence on the relationship among inflation, uncertainty, and Bitcoin and gold prices. Bitcoin appreciates against inflation (or inflation expectation) shocks, confirming its inflation-hedging property claimed by investors. However, unlike gold, Bitcoin prices decline in response to financial uncertainty shocks, rejecting the safe-haven quality. Interestingly, Bitcoin prices do not decrease after policy uncertainty shocks, partly consistent with the notion of Bitcoin's independence from government authorities. We also find an interesting asymmetry in the drivers of Bitcoin price dynamics between the bullish and bearish market. The main findings hold with or without the COVID-19 pandemic episode.

Original languageEnglish
Article number102379
JournalFinance Research Letters
Publication statusPublished - 2022 May

Bibliographical note

Funding Information:
We would like to thank the editor and an anonymous referee for their valuable comments. We are also grateful to Insook Cho (discussant), Daeyoung Jeong, Kee-Youn Kang, Jongho Park, and seminar participants of 2021 Korea's Allied Economic Associations, Annual Meeting. Jeeyeon Phi provided excellent research assistance. This work was supported by the Yonsei University Research Grant of 2020 (2020–22–0388). Any remaining errors are the authors’ sole responsibility.

Publisher Copyright:
© 2021 Elsevier Inc.

All Science Journal Classification (ASJC) codes

  • Finance


Dive into the research topics of 'Bitcoin: An inflation hedge but not a safe haven'. Together they form a unique fingerprint.

Cite this