This study investigates the heterogeneous responses of Bitcoin (BTC), gold (GOLD), and green bonds (GBOND) to geopolitical risk (GPR) shocks across different market regimes and investment horizons. Using a triadic empirical framework that encompasses wavelet quantile-on-quantile regression (QQR), wavelet cross-quantilogram (WCQ), and advanced portfolio optimization strategies, our analysis captures asymmetric dependence, tail risks, and time-frequency dynamics from January 2015 to December 2024. Our results show that BTC consistently has strong hedging potential at lower quantiles, particularly during short-term stress, whereas GOLD and GBOND offer greater stability over medium- and long-term horizons. Conditional expected shortfall (CES) and extreme downside correlation (EDC) analyses highlight BTC’s resilience to extreme downside risks, whereas GOLD and GBOND serve primarily as long-term defensive assets. Portfolio optimization confirms BTC’s critical role in diversification under minimum correlation and connectedness strategies, and GBOND dominates variance-minimizing portfolios. These findings offer practical guidance for constructing robust, adaptive portfolios under geopolitical uncertainty.
Dynamic Responses of Bitcoin, Gold, and Green Bonds to Geopolitical Risk: A Quantile Wavelet Analysis
Leccadito, Arturo
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In corso di stampa
Abstract
This study investigates the heterogeneous responses of Bitcoin (BTC), gold (GOLD), and green bonds (GBOND) to geopolitical risk (GPR) shocks across different market regimes and investment horizons. Using a triadic empirical framework that encompasses wavelet quantile-on-quantile regression (QQR), wavelet cross-quantilogram (WCQ), and advanced portfolio optimization strategies, our analysis captures asymmetric dependence, tail risks, and time-frequency dynamics from January 2015 to December 2024. Our results show that BTC consistently has strong hedging potential at lower quantiles, particularly during short-term stress, whereas GOLD and GBOND offer greater stability over medium- and long-term horizons. Conditional expected shortfall (CES) and extreme downside correlation (EDC) analyses highlight BTC’s resilience to extreme downside risks, whereas GOLD and GBOND serve primarily as long-term defensive assets. Portfolio optimization confirms BTC’s critical role in diversification under minimum correlation and connectedness strategies, and GBOND dominates variance-minimizing portfolios. These findings offer practical guidance for constructing robust, adaptive portfolios under geopolitical uncertainty.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
