Is Bitcoin Replacing Gold?

Abstract

This study examines whether the impact of Tariff Policy Uncertainty (TPU) on gold returns varies depending on Bitcoin market conditions, with the aim of determining whether gold’s safe-haven role is regime-dependent. Using a vector autoregression (VAR) model, Granger causality tests, and impulse response functions (IRFs), the empirical results show that, over the full sample period, TPU has a significantly positive effect on gold returns after a certain lag, confirming that gold partially functions as a safe-haven asset. However, during periods of high Bitcoin investor attention, both the impact of TPU on gold and the causal relationship become statistically insignificant, indicating a weakening of gold’s safe-haven role. In contrast, during low-attention Bitcoin regimes, TPU exerts a strong positive effect on gold returns, accompanied by significant causality and a persistent positive response. These findings suggest that the effects of policy uncertainty shocks on financial markets depend on the substitutive relationship between Bitcoin and gold, implying that gold’s role is partially replaced when Bitcoin attracts high investor attention, while its traditional safe-haven function is reinforced during periods of low attention.