We investigate whether Ethereum price has a cointegration relationship with the gold price. We analyze that the possible cointegration is time-varying due to the development that has taken place in the cryptocurrency market over time and evaluate the effects of this possible change in behavior between cryptocurrency price and gold price. Our procedure is based on vector error-correction model with time-varying parameters and volatility stochastic from Koop et al. (2011). We include the gold price variable as this is a hedging asset under periods of market turmoil. Our sample is daily between 08/06/2015 and 12/30/2022. In the period of covid-19, we find that there was an increase in uncertainty, but Ethereum do not play the role of a hedge asset. Price of Ethereum follows the price of gold more in the long-term relationship between 2015 and 2018.
Comissão Organizadora
Anderson Odias da Silva
Claudia Yoshinaga
Ricardo D. Brito
Felipe Saraiva Iachan
Vinicius Augusto Brunassi Silva
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