Economic policy uncertainty and cryptocurrency volatility

By Kuang-Chieh Yen, Hui-Pei Cheng. Finance Research Letters, 2020

171 citations recorded by the source corpus.

Abstract We investigate the relationship between the economic policy uncertainty index (EPU) and cryptocurrency volatility. We find that a change in EPU of China predicts cryptocurrency volatility, but a change in the EPU of the U.S., Japan, or Korea has no such effect. Moreover, changes in the China EPU are negatively associated with Bitcoin and Litecoin future volatility, which may imply that Bitcoin and Litecoin are hedging tools against the EPU risk. However, changes in China EPU may not affect the cryptocurrency volatility after the Chinese government's regulation of crypto-trading.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/6e9e3851ec18659f7779584ac38fa4fa03c680ca