Is Bitcoin beginning to displace gold as a U.S. dollar hedge? To investigate, we look at rolling correlations of returns for the following pairs of exchange-traded funds (ETF):
- Grayscale Bitcoin Trust (GBTC) and SPDR Gold Shares (GLD). This relationship should perhaps trend negative if investors are shifting from gold to Bitcoin.
- GBTC and Invesco DB US Dollar Index Bullish Fund (UUP). This relationship should perhaps trend negative if investors are hedging currency weakness with Bitcoin.
- GLD and UUP. This relationship should perhaps trend less negative if investors are shifting away from gold as a currency hedge.
Using daily and monthly adjusted prices for these three ETFs during May 2015 (limited by GBTC) through mid-August 2021, we find that:
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