TY - JOUR
T1 - Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
AU - Demir, Ender
AU - Gozgor, Giray
AU - Lau, Chi Keung Marco
AU - Vigne, Samuel A.
N1 - Publisher Copyright:
© 2018 Elsevier Inc.
Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.
PY - 2018/9/12
Y1 - 2018/9/12
N2 - This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations, the paper finds that the EPU has a predictive power on Bitcoin returns. Fundamentally, Bitcoin returns are negatively associated with the EPU. However, the effect is positive and significant at both lower and higher quantiles of Bitcoin returns and the EPU. In the light of these findings, the paper concludes that Bitcoin can serve as a hedging tool against uncertainty.
AB - This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations, the paper finds that the EPU has a predictive power on Bitcoin returns. Fundamentally, Bitcoin returns are negatively associated with the EPU. However, the effect is positive and significant at both lower and higher quantiles of Bitcoin returns and the EPU. In the light of these findings, the paper concludes that Bitcoin can serve as a hedging tool against uncertainty.
UR - http://www.scopus.com/inward/record.url?scp=85041181726&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2018.01.005
DO - 10.1016/j.frl.2018.01.005
M3 - Article
AN - SCOPUS:85041181726
SN - 1544-6123
VL - 26
SP - 145
EP - 149
JO - Finance Research Letters
JF - Finance Research Letters
ER -