The relationship between the economic policy uncertainty and the cryptocurrency market

By Hui-Pei Cheng, Kuang-Chieh Yen. 2020

134 citations recorded by the source corpus.

Abstract In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of China can predict the Bitcoin monthly returns while that of U.S. or other Asian countries has no predictive power. Furthermore, the China EPU index has no predictive power for the other main cryptocurrencies. Moreover, China's ban on crypto-trading affects the returns of Bitcoin only among the main cryptocurrencies.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/292e20765b821aaeae622c2b59309d105e5cda3f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

  1. David Martínez-Rego
  2. Carmine Ventre
  3. Leslie Kanthan
  4. Lingbo Li
  5. Fan Wu
  6. Fan Fang
  7. H. Kong
  8. Michail Basios

In Information Systems

  1. David Martínez-Rego
  2. Carmine Ventre
  3. Leslie Kanthan
  4. Lingbo Li
  5. Fan Wu
  6. Fan Fang
  7. H. Kong
  8. Michail Basios

Citations in the corpus