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Abstract

<jats:p>Credit default swaps are considered indicators of default probability and used to measure credit
risk in different sectors of the US industry. This study examines the effectiveness of hedging and safehaven options for US sectoral credit default swap indices, focusing on whether Bitcoin or gold can serve
as effective assets for mitigating credit risk in US industries. The GARCH model with dummy variables
and quantile regression are employed to estimate the hedging and safe-haven properties of Bitcoin and
gold. The findings indicate that both Bitcoin and gold can be utilized as effective hedging and safe haven
assets for US industry credit risk. Furthermore, the study highlights the superior hedging potential and
safe-haven properties of Bitcoin compared to gold. Overall, the results suggest that investors and portfolio
managers can effectively utilize Bitcoin and gold to protect against credit risk in different US sectors,
regardless of market and economic conditions.</jats:p>