黄金和比特币的动态协整研究——基于半参数MIDAS分位点回归模型

A Study of Dynamic Cointegration of Gold and Bitcoin——Based on Semiparametric MIDAS Quantile Regression Model

与黄金相比,比特币收益率高、波动率大、免监管以及免税收等性质,在金融领域将会有巨大的发展空间.比特币有时被称为新型黄金,可以取代黄金用来对冲通货膨胀,成为新型避险资产,可以与黄金互补来进行套期保值,这令金融领域的各类投资者非常感兴趣.因此,关于比特币和黄金之间关系的研究有重要的现实意义.文章对比特币和黄金之间的分位点协整关系进行了实证研究与检验.为了充分应用混合频率数据的信息,文章提出了半参数MIDAS分位点回归模型,并给出了模型的估计和相应的统计推断.与已有的关于比特币的研究方法和方向不同,文章考虑的是比特币和黄金的分位点协整关系,在半参数MIDAS分位点模型中,假定黄金和比特币的协整关系是状态依赖和时变的.实证结果发现,比特币收益率和黄金收益率在0.01-0.99分位点都有分位点协整关系,以及黄金市场和比特币市场风险的变化趋势大致相反,这为黄金和比特币组合使用进行套期保值提供了依据.

Compared with gold,Bitcoin has a huge space for development in the financial sector due to its features of higher yield,higher volatility,exemption from regulation and tax-free.Moreover,Bitcoin is sometimes referred to as a new type of gold,which can be used to substitute for gold to hedge against inflation.As well as,it can become a new safe-haven asset that can be hedged with gold for hedging,which is of great interest to investors.Therefore,the study of the relationship between Bitcoin and gold has important practical significance.This paper conducts an empirical study on the quantile cointegration relationship between the two of them.In order to fully apply the information of mixed frequency data,this paper proposes a semiparametric MIDAS quantile regression model together with the model’s estimation and corresponding statistical inference.Different from the existing research methods and directions about Bitcoin,this paper focuses on to investigate the dynamic quantile cointegration relationship between Bitcoin and gold.Meanwhile,we assume that the cointegration relationship is state-dependent and time-varying in the semi-parametric MIDAS quantile regression model.The empirical results show that there exists a quantile cointegration relationship between the yield of Bitcoin and gold at 0.01 to0.99 quantile and that the trend of risk is roughly opposite between the two markets,providing a basis for hedging using the combination of gold and bitcoin.