Cryptocurrency Price Volatility and Safe-Haven Properties During Geopolitical Shocks

This study investigates the impact and spillover effects on major cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH) and Tether ‎‎(USDT) amid geopolitical shocks, employing a Vector Autoregressive, Granger Causality, Variance Decomposition and to test the spillover ‎impact, the approach Time-Varying Parameter Vector Autoregression (TVP-VAR) model is implemented. Drawing on daily data from ‎November 25th, 2019, to September 19th, 2025, we incorporate traditional safe-haven proxies (GC.F) and risky assets (CL.F); global equi-‎ty (URTH) and benchmarks like the (VIX) volatility index, Economic Policy Uncertainty (EPU) index. Our findings reveal that BTC and ‎ETH exhibit time-varying hedge properties during low-to-moderate volatile episodes but fail as safe havens during extreme shocks. USDT ‎demonstrates superior stability as a digital safe-haven. Policy implications underscore the maturation of crypto markets for portfolio diversification, contingent on shock intensity.