Cryptocurrency Price Volatility and Safe-Haven Properties During Geopolitical Shocks
DOI:
https://doi.org/10.14419/7gaqns07Published
30-04-2026Keywords:
Cryptocurrency; Volatility; Safe-Haven Assets; Geopolitical Shocks; TVP-VARAbstract
This study investigates the impact and spillover effects on major cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH) and Tether (USDT) amid geopolitical shocks, employing a Vector Autoregressive, Granger Causality, Variance Decomposition and to test the spillover impact, the approach Time-Varying Parameter Vector Autoregression (TVP-VAR) model is implemented. Drawing on daily data from November 25th, 2019, to September 19th, 2025, we incorporate traditional safe-haven proxies (GC.F) and risky assets (CL.F); global equi-ty (URTH) and benchmarks like the (VIX) volatility index, Economic Policy Uncertainty (EPU) index. Our findings reveal that BTC and ETH exhibit time-varying hedge properties during low-to-moderate volatile episodes but fail as safe havens during extreme shocks. USDT demonstrates superior stability as a digital safe-haven. Policy implications underscore the maturation of crypto markets for portfolio diversification, contingent on shock intensity.
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