Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

Ender Demir; Giray Gozgor; Chi Keung Marco Lau; Samuel A. Vigne

doi:10.1016/j.frl.2018.01.005

Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

Ender Demir, Giray Gozgor, Chi Keung Marco Lau, Samuel A. Vigne

Research output: Contribution to journal › Article › peer-review

125 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	145-149
Number of pages	5
Journal	Finance Research Letters
Volume	26
DOIs	https://doi.org/10.1016/j.frl.2018.01.005
Publication status	Published - 12 Sept 2018

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© 2018 Elsevier Inc.

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Copyright 2018 Elsevier B.V., All rights reserved.

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10.1016/j.frl.2018.01.005

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title = "Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation",

abstract = "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.",

author = "Ender Demir and Giray Gozgor and Lau, \{Chi Keung Marco\} and Vigne, \{Samuel A.\}",

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AU - Lau, Chi Keung Marco

AU - Vigne, Samuel A.

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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.

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JO - Finance Research Letters

JF - Finance Research Letters

ER -

Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

Abstract

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