The relationship between the economic policy uncertainty and the cryptocurrency market

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

“…(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.…”

Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period

“…The results also indicate that other than Bitcoin, the China EPU index does not possess predictive ability for other cryptocurrencies returns. Cheng and Yen ( 35 ) particularly highlight the U.S. EPU index results, which show no significant ability to predict Bitcoin returns and reported that their findings contradict Demir's et al ( 9 ) findings. Cheng and Yen ( 35 ) argue that focusing on the long-run effect using monthly data and the U.S. EPU index possesses no predictive power for Bitcoin monthly returns.…”

“…Cheng and Yen ( 35 ) particularly highlight the U.S. EPU index results, which show no significant ability to predict Bitcoin returns and reported that their findings contradict Demir's et al ( 9 ) findings. Cheng and Yen ( 35 ) argue that focusing on the long-run effect using monthly data and the U.S. EPU index possesses no predictive power for Bitcoin monthly returns. Similarly, Fang et al ( 33 ) explored whether the volatility and hedging effectiveness of Bitcoin and other global assets is affected by economic policy uncertainty.…”

“…It is a fact that the macroeconomic situation is a crucial factor that determines cryptocurrency returns ( 35 ). However, limited studies ( 9 , 35 , 37 ) have empirically examined if cryptocurrencies' returns are also affected by economic policy uncertainty. And this is the area where we intend to contribute to the literature.…”

“…In another study, Cheng and Yen ( 35 ) applied the predictive regression model, examining China's EPU index's impact on predicting major cryptocurrencies' returns (such as Bitcoin, Ethereum, Litecoin, and Ripple). The findings show that the China EPU index has significant predictive power for Bitcoin returns, whereas the EPU index of the U.S, Korea, and Japan has weak predictive power.…”