The Short-Term Dynamic Effects and Structural Changes in ‎Bitcoin and US Dollar Gold- A Time Series Analysis

  • Authors

    • Shikha Research Scholar, Institute of Management Studies and Research (IMSAR), MDU ROHTAK, Haryana- 124001, India
    • Dr. Rashmi Bhargava Assistant Professor, DAV Institute of Management, Faridabad, Haryana- 121001, India
    https://doi.org/10.14419/bndgcn76

    Received date: August 5, 2025

    Accepted date: September 16, 2025

    Published date: October 5, 2025

  • Bitcoin; Gold; Structural Breaks; Cointegration; Vector Autoregressive (VAR) Model; Financial Markets; Safe-Haven Assets; Cryptocurrency

  • Abstract

    This research investigates the dynamic link between Bitcoin and Gold (USD) using an econometric approach that includes structural breaks, ‎cointegration, and Vector Autoregressive (VAR) models. Structural break tests reveal substantial regime changes in the market behavior of ‎both assets, which correspond to large macroeconomic events such as the COVID-19 epidemic and geopolitical tensions. The Johansen ‎cointegration test identifies possible long-term equilibrium correlations, stressing Bitcoin's speculative nature and Gold's conventional safe-haven position. VAR modeling delves further into short-term dynamics, emphasizing the interdependence and causal relationships between ‎the two assets. Impulse response functions and variance decomposition give insights into how Bitcoin and Gold react to shocks, demonstrating their usefulness in diversification methods. The results highlight the significance of combining structural breaks and cointegration ‎studies into financial market modeling and conclusions. This study adds to the burgeoning literature on bitcoin and conventional asset inter-‎actions, with practical consequences for investors and governments. Future developments might investigate nonlinear dynamics or regime-dependent models to grasp these complicated interactions better‎.

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  • How to Cite

    Shikha, & Bhargava, D. R. (2025). The Short-Term Dynamic Effects and Structural Changes in ‎Bitcoin and US Dollar Gold- A Time Series Analysis. International Journal of Accounting and Economics Studies, 12(6), 186-194. https://doi.org/10.14419/bndgcn76