Bitcoin Sebagai Alat Lindung Nilai Inflasi, Tidak Sebagai “Save Haven”

Abstract

During the recent COVID-19 pandemic, the many similarities shared by Bitcoin and gold raise the question of whether Bitcoin can hedge inflation or become a safe haven as gold often does. By estimating a Vector Autoregression (VAR) model, we provide systematic evidence of the relationship between inflation, uncertainty, and the prices of Bitcoin and gold. Bitcoin rises due to inflation shocks (or expected inflation), confirming the inflation hedging properties claimed by investors. However, unlike gold, Bitcoin price declines in response to financial uncertainty shocks, denying its safe haven qualities. Interestingly, Bitcoin price does not decline after policy uncertainty shocks, partly consistent with the idea of Bitcoin's independence from government authorities. Researchers also find an interesting asymmetry in the drivers of Bitcoin price dynamics between bull and bear markets. These key findings hold with or without the COVID-19 pandemic event.