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<p>The rapid expansion of digital financial markets has intensified investor interest in asset‑backed cryptocurrencies, which purport to derive stability from underlying physical commodities. This study empirically evaluates this central claim by examining the co‑movement between commodity‑backed cryptocurrencies, PAX Gold (PAXG) and Tether Gold (XAUT) (gold‑backed), Kinesis Silver (KAG) (silver‑backed), and Petrodollar (XPD) (oil‑backed), and their corresponding physical assets (gold, silver, and Brent crude oil). To account for the inherently time‑varying and multi‑scale nature of these relationships, the analysis employs Wavelet Coherence Analysis to identify dynamic co‑movement patterns and assess the credibility of the purported asset backing, with robustness evaluated using GARCH‑based dynamic correlation specifications alongside alternative wavelet‑based approaches. The empirical investigation uses daily data spanning April 2023 to April 2025 for gold‑ and silver‑backed cryptocurrencies and December 2017 to October 2018 for the oil‑backed XPD. The findings reveal asymmetry across asset classes. Gold‑ and silver‑backed cryptocurrencies (PAXG, XAUT, and KAG) exhibit no statistically significant co‑movement with their respective underlying commodities across investment horizons, casting doubt on their effectiveness as commodity‑linked instruments. By contrast, XPD displays statistically significant short‑run co‑movement with Brent crude oil. Phase‑difference analysis indicates that movements in Brent crude oil lead those of XPD during this transient linkage. Overall, the results challenge the presumed stability and hedging capacity of asset‑backed cryptocurrencies as functional substitutes for physical commodities in investment portfolios. These findings carry implications for portfolio managers regarding asset allocation decisions and underscore the need for policymakers to reconsider the regulatory and structural frameworks governing commodity‑backed digital assets.</p>

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Do asset-backed cryptocurrencies track their underlying commodities? A time-frequency investigation using the wavelet toolkit and multivariate GARCH techniques

  • 期刊论文

  • 发表日期：

    2026年3月5日

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  • Mahdi Ghaemi Asl,
  • Pouriya Jahangard

摘要

The rapid expansion of digital financial markets has intensified investor interest in asset‑backed cryptocurrencies, which purport to derive stability from underlying physical commodities. This study empirically evaluates this central claim by examining the co‑movement between commodity‑backed cryptocurrencies, PAX Gold (PAXG) and Tether Gold (XAUT) (gold‑backed), Kinesis Silver (KAG) (silver‑backed), and Petrodollar (XPD) (oil‑backed), and their corresponding physical assets (gold, silver, and Brent crude oil). To account for the inherently time‑varying and multi‑scale nature of these relationships, the analysis employs Wavelet Coherence Analysis to identify dynamic co‑movement patterns and assess the credibility of the purported asset backing, with robustness evaluated using GARCH‑based dynamic correlation specifications alongside alternative wavelet‑based approaches. The empirical investigation uses daily data spanning April 2023 to April 2025 for gold‑ and silver‑backed cryptocurrencies and December 2017 to October 2018 for the oil‑backed XPD. The findings reveal asymmetry across asset classes. Gold‑ and silver‑backed cryptocurrencies (PAXG, XAUT, and KAG) exhibit no statistically significant co‑movement with their respective underlying commodities across investment horizons, casting doubt on their effectiveness as commodity‑linked instruments. By contrast, XPD displays statistically significant short‑run co‑movement with Brent crude oil. Phase‑difference analysis indicates that movements in Brent crude oil lead those of XPD during this transient linkage. Overall, the results challenge the presumed stability and hedging capacity of asset‑backed cryptocurrencies as functional substitutes for physical commodities in investment portfolios. These findings carry implications for portfolio managers regarding asset allocation decisions and underscore the need for policymakers to reconsider the regulatory and structural frameworks governing commodity‑backed digital assets.