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

被引:459
作者
Demir, Ender [1 ]
Gozgor, Giray [1 ]
Lau, Chi Keung Marco [2 ]
Vigne, Samuel A. [3 ]
机构
[1] Istanbul Medeniyet Univ, Istanbul, Turkey
[2] Univ Huddersfield, Dept Accountancy Finance & Econ, Huddersfield HD1 3DH, W Yorkshire, England
[3] Queens Univ Belfast, Queens Management Sch, Belfast BT9 5EE, Antrim, North Ireland
关键词
Bitcoin; Cryptocurrencies; Economic policy uncertainty; Bayesian graphical model; Structural vector autoregressive; Quantile-on-quantile regression; INEFFICIENCY;
D O I
10.1016/j.frl.2018.01.005
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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.
引用
收藏
页码:145 / 149
页数:5
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