When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin

By Gangjin Wang, Chi Xie, Danyan Wen, Longfeng Zhao. 2019

230 citations recorded by the source corpus.

Abstract Bitcoin was launched to solve the distrust and uncertainty in the existing financial system. Here we investigate risk spillover effect from economic policy uncertainty (EPU) to Bitcoin using a multivariate quantile model and the Granger causality risk test. We use the US EPU index, equity market uncertainty index, and VIX as proxies for EPU. We find that risk spillover effect from EPU to Bitcoin is negligible in most conditions. Our work provides useful information on building asset portfolios for investors who have investment strategies in Bitcoin, because Bitcoin can be acted as a safe-haven or a diversifier under EPU shocks.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/610de75b4130e8eacaf6d1a00c7536c06899f30d

Citations in the corpus

• The non-fungible token (NFT) market and its relationship with Bitcoin and Ethereum (2021, unknown): “One example is the study by Wang et al. [12], who found that there is no spillover effect from economic policy uncertainty to Bitcoin.”