We employ a frequency-dependent asymmetric and causality analysis to investigate the connectedness between gold and cryptocurrencies during the COVID-19 pandemic. Hence, the variational mode decomposition-based quantile regression is utilised. Findings from the study divulge that the variational mode functions at the lower quantiles are mostly significant and negative indicating that gold acts as a safe haven, a diversifier at most market conditions with insignificant coefficients, and a hedge at normal market conditions for most cryptocurrencies at various investment horizons. Particularly, hedging benefits mostly occur in the short- and medium-term for Bitcoin and Ripple, as well as Bitcoin and Dogecoin in the long-term with gold. This implies that there is high persistence in the hedging properties of gold with Bitcoin, followed by Ripple. We notice more significant relationship between gold and some cryptocurrencies in the long-term of the COVID-19 pandemic relative to the medium-term emphasising the delayed responses of prices to information. Investors are recommended to be observant and mindful of investing in these markets due to the different dynamics.
This paper examines the relationship between commodity prices in Ghana and if any, the role of exchange rate on such relationship using wavelet analysis and monthly data from September, 2007 to March, 2021. We test for the robustness of the empirical findings using multiple wavelet analysis. We find that exchange rate plays an intrinsic role in the dynamic comovement of commodity prices with strong coherence at short and medium terms. The partial wavelet coherence analysis shows that exchange rate drives commodity interdependence. This study is of relevance to other developing export-dependent countries and the Ghanaian government in making strategic trade policies and to investors that are interested in these cross-sector commodities. Governments and investors that are privy to the intrinsic role of exchange rate on its dependent commodities can benefit from this study to diversify against exchange rate fluctuations and the implicit effect of inflation.
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