Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis

被引：19
|
作者：
Mokni, Khaled [1 ,2 ]
Bouri, Elie [3 ,4 ]
Ajmi, Ahdi Noomen [5 ,6 ]
Xuan Vinh Vo [4 ]
机构：
[1] Northern Border Univ, Ar Ar, Saudi Arabia
[2] Gabes Univ, Gabes, Tunisia
[3] Lebanese Amer Univ, Beirut, Lebanon
[4] Univ Econ Ho Chi Minh City, Ho Chi Minh City, Vietnam
[5] Prince Sattam bin Abdulaziz Univ, Al Kharj, Saudi Arabia
[6] Manouba Univ, Manouba, Tunisia
来源：
SAGE OPEN | 2021年 / 11卷 / 02期
关键词：
Bitcoin; EPU; categorical economic uncertainty; hedge; safe-haven; quantile; SAFE-HAVEN; POLICY UNCERTAINTY; GOLD; RETURNS; VOLATILITY; CURRENCIES; MARKETS; STOCKS; OIL;
D O I：
10.1177/21582440211016377
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
This paper examines the hedge and safe-haven abilities of Bitcoin against U.S. aggregate and categorical economic policy uncertainty (EPU) via the application of quantile regression model augmented with a dummy and some control variables. Using monthly data from September 2011 to December 2019, empirical results indicate that Bitcoin does not act as a strong hedge against the aggregate U.S. EPU. However, it acts as a strong safe-haven for this aggregate measure of uncertainty when the Bitcoin market is bearish. Looking deeper into the disaggregated level of the U.S. EPU data, the analyses involving categorical EPU data indicate the ability of Bitcoin to act as a strong hedge and safe-haven against specific uncertainties related to fiscal policy, taxes, national security, and trade policy.
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页数：14
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