Bitcoin as A Safe Haven Or Hedge Against Inflation And Rupiah Exchange Rate Fluctuations
Keywords:
Bitcoin; safe haven; hedge; inflation; rupiah exchange rate; goldAbstract
Bitcoin is often promoted as “digital gold”, an asset that protects wealth against inflation and currency depreciation. This study tests that claim from the perspective of Indonesian investors by examining whether Bitcoin acts as a hedge or a safe haven against domestic inflation and rupiah depreciation, using gold as a benchmark. Following the framework of Baur and Lucey (2010), daily returns of Bitcoin and gold in rupiah are regressed on USD/IDR changes with dummy variables for extreme depreciation (90th, 95th, and 99th percentiles) and GARCH(1,1) errors, over January 2018 to June 2026 (2,215 observations). Inflation-hedging ability is tested with monthly regressions on CPI inflation including high-inflation months (101 observations). The results show that Bitcoin is at most a weak hedge against rupiah depreciation on average: its coefficient is positive but insignificant (0.127). During extreme depreciation episodes, Bitcoin’s rupiah value falls significantly (total effect −1.798 at the 95th percentile), so it is not a safe haven. Gold, by contrast, is a strong hedge and a strong safe haven against rupiah depreciation. Neither asset shows reliable inflation-hedging properties at the monthly horizon, and Bitcoin’s estimates are too imprecise to be informative. The findings suggest that, for Indonesian investors, Bitcoin behaves more like a risk asset than a store of value and cannot substitute for gold as protection against currency crises.
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