Dynamic interactions between safe-haven assets and macroeconomic indicators: a quantile and wavelet analysis

This study examines the dynamic interactions between precious metals, cryptocurrencies, stablecoins, safe-haven currencies, and two key macroeconomic indicators, the 5-year breakeven inflation expectation (T5YIE) and the 10-year minus 3-month Treasury yield spread (T10Y3M), over January 2016–July 2025. To capture nonlinear and multi-scale dependencies, the study applies Quantile-on-Quantile Regression (QQR) in combination with wavelet coherence (WCO) and wavelet transform coherence (WTC). The results indicate that major cryptocurrencies such as Bitcoin and Ethereum do not display robust or systematic links with inflation expectations or recession risk, limiting their role as macro-financial hedges. By contrast, the Japanese yen and Swiss franc show pronounced tail sensitivities, reaffirming their safe-haven status, while gold and its tokenized counterparts (DGX, PAXG) exhibit persistent long-run coherence with inflation expectations. Stablecoins demonstrate unstable short-term linkages shaped by liquidity shocks and market frictions. The research provides new evidence on the heterogeneous roles of digital and traditional assets in shaping macroeconomic expectations. The findings carry implications for investors, who should continue to rely on gold and safe-haven currencies for crisis hedging, and for regulators concerned with the systemic stability of emerging digital instruments. This study improves understanding of the links between financial assets and macroeconomic expectations. It provides a unified analysis of precious metals, cryptocurrencies, stablecoins, and safe-haven currencies. The paper focuses on inflation expectations and recession risk. Using nonlinear and multi-scale methods, it shows that major cryptocurrencies do not act as reliable macro-financial hedges. In contrast, gold and safe-haven currencies maintain stable protective roles during periods of uncertainty. Tokenized gold assets display similar long-run inflation-hedging properties. Stablecoins exhibit fragile and short-lived linkages driven by market frictions. These findings support better portfolio risk management and inform regulators about the stability implications of digital financial instruments.