BitCoin: A new basket for eggs?

【Author】 Qin, Meng; Su, Chi-Wei; Tao, Ran

【Source】ECONOMIC MODELLING

【影响因子】3.875

【Abstract】This paper explores the role of Bitcoin in diversifying investment risks during periods of high global economic policy uncertainty. It employs the bootstrap full- and sub-sample rolling-window Granger causality tests to investigate the mutual causal influence between global economic policy uncertainty and Bitcoin returns. It finds that global economic policy uncertainty has both positive and negative causal impacts on Bitcoin returns, suggesting that Bitcoin cannot always be viewed as a new basket for eggs since it can not always be considered to hedge policy uncertainty. The paper finds a positive reverse causal impact of Bitcoin returns on global economic policy uncertainty, indicating that the Bitcoin market contains useful information to forecast global economic policy uncertainty. Additional analyses suggest that global economic policy uncertainty also contains valuable information to improve the prediction of returns and volatility in the Bitcoin market. Under the recent global trade tensions and complex economic environment, these analyses imply that investors and countries can exploit the Bitcoin market to optimize their investment.

【Keywords】Bitcoin price; Global economic policy uncertainty; Causal relationship; Time-varying

【发表时间】2021 JAN

【收录时间】2022-01-02

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