This paper describes a novel and simple way to jointly estimate spillovers and correlations. The proposed framework is based on an expanded return vector including lagged returns. The correlation matrix of this expanded return vector provides the (contemporaneous) correlation and (lagged...

The collapse of Silicon Valley Bank and Signature Bank in March 2023 triggered a flight to quality. This paper analyses flows to and from money market mutual funds (MMFs) and stablecoins consistent with a flight to quality. We find aggregate net inflows to MMFs and aggregate net outflows from...

Safe haven assets play a crucial role in safeguarding portfolios during times of turmoil or crises. Gold is widely acknowledged to act as a safe haven asset for stock market portfolios. However, it remains unclear whether it should be held continuously as a strategic (passive) investment or...

Safe assets play an important economic role as a store of value. Remarkably, gold is generally not considered a safe asset despite the fact that both gold and government bonds are considered stores of value and both are risky in the short-run as highlighted recently by the Silicon Valley Bank...

Bitcoin is often labelled digital gold and many studies compare bitcoin and gold prices, returns and volatility. This paper digs deeper and compares the characteristics of bitcoin mining with gold mining to assess claims that bitcoin is digital gold. We identify twenty differences between gold...

This paper uses a novel econometric framework to dissect connectedness into lagged effects - spillovers - and contemporaneous effects - correlations. The results based on a sample of the largest cryptocurrencies show that spillovers play a marginal role for connectedness compared with...

A large literature tests whether Bitcoin can hedge portfolio risk, i.e. reduce the risk if added to a portfolio. Intuitively, given the extreme volatility and thus risk of Bitcoin and cryptocurrencies, the idea that Bitcoin is a hedge may be puzzling. Indeed, we show that for extreme levels of...