Economic policy uncertainty and cryptocurrency volatility

Yen, Kuang‐Chieh; Cheng, Hui-Pei

doi:10.1016/j.frl.2020.101428

Cited by 130 publications

(88 citation statements)

References 5 publications

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“…(2016) , EPU is estimated based on a monthly count of articles that contain specific terms. Several studies examined the relationship between EPU and monthly data ( Kido, 2016 ; Bilgin et al., 2018 ; Cheng and Yen, 2019 , and Yen and Cheng, 2020 ). Second, the uncertainty or risk in the financial markets is usually measured as volatility.…”

Section: Data Description and Methodologymentioning

confidence: 99%

Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

Choi

2020

Finance Research Letters

142

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Highlights We investigate the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US. We apply wavelet coherence analysis to economic policy uncertainty (EPU) data and monthly sector volatility of the S&P 500 index. Our analysis indicates that COVID-19 has had a substantial impact on all sectors of the US stock market. The influence of the pandemic on the industrial economy is larger than that of the global financial crisis (GFC) for all sectors.

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Section: Data Description and Methodologymentioning

confidence: 99%

Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

Choi

2020

Finance Research Letters

142

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“…In this line, Onan et al. (2014) find that good and bad announcements asymmetrically impact the financial volatility, whereas most of recent studies focus on the role of Economic Policy Uncertainty (EPU) in influencing the financial volatility ( Antonakakis et al., 2013 ; Chen and Chiang, 2020 ; Kalyvas et al., 2019 ; Li et al., 2020 ; Mei et al., 2018 ; Su et al., 2019 ; Tiwari et al., 2019 ; Yen and Cheng, 2020 ; Zhenghui and Junhao, 2019 ). For example, Karnizova and Li (2014) predict the US recession using the interaction between EPU and stock market volatility, whereas Zhu et al.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 and the United States financial markets’ volatility

Albulescu

2021

Finance Research Letters

430

304

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We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.

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“…Although the current literature highlights that these Asia countries are likely to be conservative of blockchain and cryptocurrencies by introducing the banned regulations (Zhou and Kalev, 2019), these countries still embrace trading activities and investment in this digital market (Hileman and Rauchs, 2017;Hendrickson et al, 2016). From a financial perspective, this can be explained by the comovement between EPU and cryptocurrency volatility (Demir et al, 2018;Fang et al, 2019;Cheng and Yen, 2020;Yen and Cheng, 2021;Mokni, 2021). In order to test this hypothesis, in the next section, we employ a regression analysis between EPU and UCRYP indices.…”

Section: Jabesmentioning

confidence: 99%

“…First, we provide empirical evidence about the dynamic connectedness between the country-level economic policy uncertainty and the cryptocurrency index. In fact, the previous literature has mainly focused on the returns and volatility of Bitcoin (Cheng and Yen, 2020;Yen and Cheng, 2021;Huynh et al, 2021b). In this study, for the first time, we focus on Bitcoin and the economic policy uncertainty nexus.…”

Section: Introductionmentioning

confidence: 99%

“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices

Foglia

Dai

2021

JABES

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PurposeThe purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices.Design/methodology/approachThis paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study.FindingsThe findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty.Originality/valueThis study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market.

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Economic policy uncertainty and cryptocurrency volatility

Cited by 130 publications

References 5 publications

Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

COVID-19 and the United States financial markets’ volatility

“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices

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