The relationship between the economic policy uncertainty and the cryptocurrency market

被引：99

作者：

Cheng, Hui-Pei ^{[1
]}

Yen, Kuang-Chieh ^{[1
]}

机构：

[1] Soochow Univ, Sch Business, Dept Econ, 56 Kue Yang St Sec 1, Taipei 100, Taiwan

来源：

FINANCE RESEARCH LETTERS | 2020年 / 35卷

关键词：

Bitcoin; Cryptocurrencies; Economic policy uncertainty; China; BITCOIN; EFFICIENCY; GOLD;

D O I：

10.1016/j.frl.2020.101308

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of China can predict the Bitcoin monthly returns while that of U.S. or other Asian countries has no predictive power. Furthermore, the China EPU index has no predictive power for the other main cryptocurrencies. Moreover, China's ban on crypto-trading affects the returns of Bitcoin only among the main cryptocurrencies.

引用

页数：5

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