We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical results provide evidence supporting that, except for the case of bonds. We further examine whether the correlation between Bitcoin and global equities, commodities, and bonds are affected by global economic policy uncertainty and the results reveal that global economic policy uncertainty has a negative significant impact on the Bitcoin-bonds correlation, and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations, suggesting a possibility for Bitcoin to act as a hedge under specific * The authors would like to thank Professor Honghai Yu for many helpful comments, and Sifan Ding for excellent research assistance. # Corresponding author. economic uncertainty conditions. Interestingly, the hedging effectiveness of Bitcoin for both global equities and global bonds enhances slightly after considering the level of global economic policy uncertainty. Implications for investors and policy-makers are discussed.

This paper applies the GARCH‐MIDAS model to examine whether information contained in global economic policy uncertainty (GEPU) can help to predict short‐ and long‐term components of the gold futures return variance. Our results show that GEPU positively and significantly forecasts the future monthly volatilities for the aggregate global gold futures market. The forecasting power of GEPU remains strong in an out‐of‐sample setting. Moreover, further out‐of‐sample tests show that the GARCH‐MIDAS model with GEPU and realized volatility outperforms all other specifications, indicating that including low‐frequency GEPU information in the GARCH‐MIDAS model significantly enhances the forecasting ability of the model.

No abstract

No abstract

No abstract