Haifa FRAD1, Sihem BEN ZAKOUR2 and Fatemah ALGHAMDI3
1,3 Financial sciences department, Imam Abdulrahman Bin Faisal University, KSA.
2 Basic sciences department, Imam Abdulrahman Bin Faisal University, KSA.
This paper provides insight into the transmission of shocks in the Bitcoin-Gold-dollar relationship during one-year period including COVID-19 epidemic period. The Vector autoregression (VAR) model and the generalized impulse response are used here to analyze this relationship. The result of both the Bitcoin and the Gold series exhibit cycling behavior and persistence to shocks.