On the potential hedging instruments against central bank digital currency uncertainty and attention indices

Javed Bin Kamal; Mark Wohar; Khaled Bin Kamal

doi:10.46557/001c.70301

On the potential hedging instruments against central bank digital currency uncertainty and attention indices

Javed Bin Kamal, Mark Wohar, Khaled Bin Kamal

Research output: Contribution to journal › Article › Research › peer-review

Abstract

We study dynamic conditional correlations of Central Bank Digital Currency (CBDC) uncertainty and attention indices with US dollar futures, 1-year US government bond, and gold futures. We find that USD futures hedges CBDC uncertainty, while the US bond hedges the CBDC uncertainty index subsequent to 2019. Interestingly, gold does not hedge CBDC uncertainty. The CBDC attention index exerts a negative effect on the other assets. These results are important for portfolio management.

Original language	English
Pages (from-to)	1-7
Number of pages	7
Journal	Asian Economics Letters
Volume	5
Issue number	2
DOIs	https://doi.org/10.46557/001c.70301
Publication status	Published - 10 May 2024
Externally published	Yes

Keywords

Central bank digital currency uncertainty and attention indices
US dollar futures
Gold
1-year US government bond

Access to Document

10.46557/001c.70301Licence: CC BY-SA

599088433-oaFinal published version, 535 KBLicence: CC BY-SA

Cite this

@article{a580d267cd7442bd8efabb759e362744,

title = "On the potential hedging instruments against central bank digital currency uncertainty and attention indices",

abstract = "We study dynamic conditional correlations of Central Bank Digital Currency (CBDC) uncertainty and attention indices with US dollar futures, 1-year US government bond, and gold futures. We find that USD futures hedges CBDC uncertainty, while the US bond hedges the CBDC uncertainty index subsequent to 2019. Interestingly, gold does not hedge CBDC uncertainty. The CBDC attention index exerts a negative effect on the other assets. These results are important for portfolio management.",

keywords = "Central bank digital currency uncertainty and attention indices, US dollar futures, Gold, 1-year US government bond",

author = "Kamal, {Javed Bin} and Mark Wohar and Kamal, {Khaled Bin}",

year = "2024",

month = may,

day = "10",

doi = "10.46557/001c.70301",

language = "English",

volume = "5",

pages = "1--7",

journal = "Asian Economics Letters",

issn = "2652-8681",

publisher = "Asia-Pacific Applied Economics Association (APAEA)",

number = "2",

}

TY - JOUR

T1 - On the potential hedging instruments against central bank digital currency uncertainty and attention indices

AU - Kamal, Javed Bin

AU - Wohar, Mark

AU - Kamal, Khaled Bin

PY - 2024/5/10

Y1 - 2024/5/10

N2 - We study dynamic conditional correlations of Central Bank Digital Currency (CBDC) uncertainty and attention indices with US dollar futures, 1-year US government bond, and gold futures. We find that USD futures hedges CBDC uncertainty, while the US bond hedges the CBDC uncertainty index subsequent to 2019. Interestingly, gold does not hedge CBDC uncertainty. The CBDC attention index exerts a negative effect on the other assets. These results are important for portfolio management.

AB - We study dynamic conditional correlations of Central Bank Digital Currency (CBDC) uncertainty and attention indices with US dollar futures, 1-year US government bond, and gold futures. We find that USD futures hedges CBDC uncertainty, while the US bond hedges the CBDC uncertainty index subsequent to 2019. Interestingly, gold does not hedge CBDC uncertainty. The CBDC attention index exerts a negative effect on the other assets. These results are important for portfolio management.

KW - Central bank digital currency uncertainty and attention indices

KW - US dollar futures

KW - Gold

KW - 1-year US government bond

U2 - 10.46557/001c.70301

DO - 10.46557/001c.70301

M3 - Article

SN - 2652-8681

VL - 5

SP - 1

EP - 7

JO - Asian Economics Letters

JF - Asian Economics Letters

IS - 2

ER -