Abstract This paper investigates the time-varying dynamics of the Bitcoin price by examining its relationship with key global factors, including the VIX, the interest rate, the US dollar index, the oil price, and the gold price. The empirical analysis employs a state-space model, the Kalman filter method, and a TVP-VAR-SV. The findings from the state-space model indicate a significant negative association between the Bitcoin price and the VIX, while identifying a positive relationship with the gold price. Further analysis using instantaneous time-varying impulse response functions reveals that the negative response of Bitcoin to the VIX intensified significantly during the pandemic period. A similar negative impact was observed regarding the US dollar index and the oil price. In contrast, the interest rate exhibited a positive connection with the Bitcoin price. Notably, the relationship between Bitcoin and gold, which was negative prior to the pandemic, became statistically insignificant as the crisis escalated. This underscores that Bitcoin’s hedging capabilities and safe haven characteristics are not intrinsic fundamental qualities, but rather conditional behaviors that evolve with shifting global economic landscapes. The evidence suggests that Bitcoin’s defensive properties are structural rather than fundamental, emerging primarily during specific volatility regimes. Additionally, the inverse relationship between the oil price and Bitcoin suggests that rising energy costs may dampen the cryptocurrency’s appeal due to its substantial energy consumption. These results offer significant implications for scholars, investors, and portfolio managers regarding the management of digital assets during periods of systemic instability.
Köse et al. (2026) studied this question.