This study aims to provide a comprehensive examination of the nonlinear and asymmetric relationships between global uncertainty indicators, namely, gold (GOLD), the US Dollar Index (DXY) and the Volatility Index (VIX), and major cryptocurrencies, including Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Cardano (ADA) and Binance Coin (BNB). It particularly focuses on how these dynamics evolve across different market conditions and the extent to which certain cryptocurrencies function as alternative safe-haven assets.
The analysis uses weekly data from January 2018 to June 2025, covering five major cryptocurrencies (BTC, ETH, XRP, ADA and BNB). To capture the dynamic and nonlinear relationships between global uncertainty indicators and cryptocurrency markets, the Quantile-on-Quantile Regression (QQR) approach is applied. Furthermore, the Quantile-on-Quantile Kernel-Based Regularized Least Squares (QQKRLS) technique is used as a robustness check to validate the findings.
The results demonstrate that the relationship between global uncertainty indicators and cryptocurrencies is neither linear, stationary nor unidirectional. Instead, it exhibits complex and asymmetric interactions that vary across quantiles and market conditions. Significant and predominantly inverse relationships are identified between the DXY, the VIX and cryptocurrencies, particularly at lower (0.05–0.30) and higher (0.70+) quantile levels. These findings suggest that investor behavior is influenced not only by economic fundamentals but also by uncertainty, market dynamics and risk perceptions.
This study is the first to apply QQR and QQKRLS methods to analyze the nonlinear and asymmetric linkages between global uncertainty indicators and major cryptocurrencies. It provides novel evidence on how these relationships shift across market conditions, offering fresh insights into the potential safe-haven role of cryptocurrencies.
