How does economic policy uncertainty affect the bitcoin market?

被引：80
|
作者：
Wang, Pengfei [1 ]
Li, Xiao [2 ]
Shen, Dehua [1 ]
Zhang, Wei [1 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China
[2] Nankai Univ, Sch Finance, Tianjin 300350, Peoples R China
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2020年 / 53卷
基金：
中国国家自然科学基金;
关键词：
Economic policy uncertainty (EPU); Bitcoin; Volatility; DCC-GARCH; Event-study; TIME-VARYING CORRELATION; POLITICAL UNCERTAINTY; HEDGING EFFECTIVENESS; IMPLIED VOLATILITY; US; RETURNS; SHOCKS; RISK; INEFFICIENCY; CURRENCIES;
D O I：
10.1016/j.ribaf.2020.101234
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines how economic policy uncertainty (EPU) impacts the Bitcoin (BTC) markets denominated in local currencies. We take BTC against British Pound (GBP) and the United States dollar (USD) as examples and construct the value-weighted BTC/GBP and BTC/USD composite indices. Our results show that the returns around the highest EPU days are significantly greater than those around the lowest EPU days. Further, the United States (US) EPU increases the volatility and trading volume of BTC after EPU spike days, whereas the United Kingdom (UK) EPU does not show such trends. Moreover, we observe a spillover effect for the US EPU to the UK BTC market. We further construct the dynamic conditional correlation (DCC)-GARCH model to test the dynamic correlation between EPU and BTC. Our results show that the effect of the US EPU on BTC/USD is greater than the effect of the UK EPU on BTC/GBP. Our empirical findings may provide insights for regulators to intervene in speculations in cryptocurrency markets effectively.
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页数：18
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