Dynamic interactions between safe-haven assets and macroeconomic indicators: a quantile and wavelet analysis

This study examines the dynamic interactions between precious metals, cryptocurrencies, stablecoins, safe-haven currencies, and two key macroeconomic indicators, the 5-year breakeven inflation expectation (T5YIE) and the 10-year minus 3-month Treasury yield spread (T10Y3M), over January 2016–July 2025. To capture nonlinear and multi-scale dependencies, the study applies Quantile-on-Quantile Regression (QQR) in combination with wavelet coherence (WCO) and wavelet transform coherence (WTC). The results indicate that major cryptocurrencies such as Bitcoin and Ethereum do not display robust or systematic links with inflation expectations or recession risk, limiting their role as macro-financial hedges. By contrast, the Japanese yen and Swiss franc show pronounced tail sensitivities, reaffirming their safe-haven status, while gold and its tokenized counterparts (DGX, PAXG) exhibit persistent long-run coherence with inflation expectations. Stablecoins demonstrate unstable short-term linkages shaped by liquidity shocks and market frictions. The research provides new evidence on the heterogeneous roles of digital and traditional assets in shaping macroeconomic expectations. The findings carry implications for investors, who should continue to rely on gold and safe-haven currencies for crisis hedging, and for regulators concerned with the systemic stability of emerging digital instruments.