Economic policy uncertainty and cryptocurrency volatility

Volume: 38, Pages: 101428 - 101428
Published: Jan 1, 2021
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....
Paper Details
Title
Economic policy uncertainty and cryptocurrency volatility
Published Date
Jan 1, 2021
Volume
38
Pages
101428 - 101428
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