Is the status of gold threatened by Bitcoin?

Figures & data

Figure 1. The trends of BCP and GP.

Source: Authors' calculations.

Table 1. Descriptive statistics for BCP, GP and USDX.

	BCP	GP	USDX
Observations	108	108	108
Mean	1763.816	1350.159	88.120
Median	384.797	1289.650	89.529
Maximum	15034.530	1771.900	102.350
Minimum	0.062	1068.300	73.030
Standard Deviation	3056.556	178.605	8.486
Skewness	2.126	0.979	−0.051
Kurtosis	7.168	2.875	1.461
Jarque-Bera	159.494***	17.327***	10.708***

Note: *** denotes significance at the 1% level.

Source: Authors' calculations.

Table 2. The results of unit root test.

		ADF	PP	KPSS
Levels	BCP	−2.437 (1)	−2.485 [2]	1.082[9]***
	GP	−1.841 (1)	−1.678 [1]	0.560 [9]**
	USDX	−0.833 (1)	−1.034 [5]	0.967 [9]***
First differences	BCP	−6.607 (1)***	−6.617 [2]***	0.281 [2]
	GP	−6.772 (1)***	−7.945 [1]***	0.170 [1]
	USDX	−7.116 (1)***	−11.330 [5]***	0.087 [5]

Notes: The number in parenthesis indicates the lag order which is selected based on the SIC. The number in the brackets indicates the bandwidth which uses Bartlett Kernel as suggested by the Newey and West test (1987).

** and *** denote significance at the 5% and 1% level, respectively.

Source: Authors' calculations.

Table 3. Full-sample Granger causality tests.

Tests	H0: BCP does not Granger cause GP		H0: GP does not Granger cause BCP
	Statistics	p-values	Statistics	p-values
Bootstrap LR test	4.641	0.170	0.957	0.900

Notes: To calculate p-values using 10,000 bootstrap repetitions.

Source: Authors' calculations.

Table 4. The results of parameter stability test.

Tests	BCP		GP		VAR system
	Statistics	p-value	Statistics	p-value	Statistics	p-value
Sup-F	27.025***	0.002	29.403***	0.001	41.746***	0.000
Ave-F	8.587*	0.061	9.987**	0.025	14.157*	0.090
Exp-F	10.299***	0.001	10.448***	0.001	17.462***	0.000
Lc					5.190***	0.005

Notes: To calculate p-values using 10,000 bootstrap repetitions.

*** , ** and * denote significance at the 1%, 5% and 10% levels, respectively.

Source: Authors' calculations.

Figure 2. Bootstrap p-values of rolling test statistic testing the null hypothesis that BCP does not Granger cause GP.

Source: Authors' calculations.

Figure 3. Bootstrap estimates of the sum of the rolling-window coefficients for the impact of BCP on GP.

Source: Authors' calculations.

Figure 4. Bootstrap p-values of rolling test statistic testing the null hypothesis that GP does not Granger cause BCP.

Source: Authors' calculations.

Figure 5. Bootstrap estimates of the sum of the rolling-window coefficients for the impact of GP on BCP.

Source: Authors' calculations.