Examines how gold, silver, and Bitcoin affect systemic risk in banking, indicating diverse roles for these assets.
This study examines the dynamic interactions between precious metals (gold and silver) and cryptocurrencies (Bitcoin) in the context of banking systemic risk, by identifying the main banking factors of systemic vulnerability. The MES method was employed to estimate systemic risk, the DCC-GARCH model to assess dependency dynamics, and the VAR model to investigate causal relationships and impulse response functions. Empirical evidence shows that banking systemic risk has a unidirectional influence on gold and silver prices, reinforcing their role as safe-haven assets in times of financial stress. However, Bitcoin’s volatility dynamics amplify banking systemic risk, indicating that fluctuations in cryptocurrencies can increase financial uncertainty and affect the stability of the banking system. The findings of this study have several important implications for systemic risk management, portfolio diversification, and the assessment of the significant role of alternative assets in financial stability.
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Chakroun et al. (2026) studied this question.
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