The Impact of Bitcoin on Gold: Analysis Based on Autoregressive Distributed Lag, Quantile Regression, and Ordinary Least Squares Models

With Bitcoin emerging as a revolutionary digital asset and an alternative investment in international financial markets, its potential impact on traditional financial instruments like gold warrants thorough examination. To delve into the dynamic relationship between this digital asset and the traditional safe haven, this research examines the impact of Bitcoin returns on the returns of gold while controlling for the effects of crude oil returns, US stock market returns, market volatility, and interest rates. The analysis utilizes the autoregressive distributed lag (ARDL) model to investigate the long and short-term impact of the regressors. The quantile regression and ordinary least squares (OLS) are also applied for a more comprehensive perspective. For robustness, the consumer price index (CPI) is included as an additional control variable. Moreover, to evaluate whether the results differ under volatile market conditions, regressions based on a sub-sample period are conducted. Results across the models suggest a nearly zero correlation between gold and Bitcoin returns.