Bitcoin Behavior against Gold and Dollar Analysis via VAR Model during Covid-19 Period

Haifa Frad, Sihem Ben Zakour and Fatemah Alghamdi

Abstract:

This paper provides insight into the transmission of shocks in the Bitcoin-Gold-dollar relationship during one-year period including COVID-19 epidemic period. The VAR model and the generalized impulse response are employed to analyze this relationship. The result of both the Bitcoin and the Gold series exhibit cycling behavior and persistence to shocks.