The relationship between Bitcoin returns and trade policy uncertainty

By Giray Gozgor, Aviral Kumar Tiwari, Ender Demir, Sagi Akron. Finance Research Letters, 2019

121 citations recorded by the source corpus.

Abstract This paper investigates the relationship between the returns of Bitcoin and the index of trade policy uncertainty (TPI) in the United States (USA) in the period of July 2010–August 2018. The paper implements the Wavelet Power Spectrum (WPS), the Wavelet Coherency (WTC), and the Cross-Wavelet (XWT) techniques. There is a positive correlation between the related variables. However, the findings indicate that there are significant regime changes in both Bitcoin returns and the TPI during the periods of 2010–11 and 2017–18. In addition, there is a significant and negative causal relationship that runs from the TPI to the returns of Bitcoin during the related periods. Overall, the paper finds that trade policy uncertainty significantly and negatively affects the Bitcoin returns during the periods of regime changes.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/4f8800cd8a5bc4da3f9fd99702acaa50764ceb21

Citations in the corpus

• The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model (2020, unknown): “2017; Poyser, 2019) and against uncertainty (Demir et al. 2018; Gozgor et al. 2019).”