Bitcoin, gold, and the VIX: short- and long-term effects of economic policy uncertainty

【Author】 Hernandez, Jose Arreola; Hasan, Mohammad Zahid; McIver, Ron P.

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】We investigate short- and long-term effects of U.S. economic policy uncertainty (EPU) on bitcoin, gold, and the implied US stock market volatility (VIX). We apply an autoregressive distributed lag model (ARDL) to monthly data. Our results suggest EPU significantly negatively (positively) impacts bitcoin over short (long) horizons. In contrast to the extant literature we find the magnitude of the effect of EPU on bitcoin returns weakens over longer horizons. Our empirical results provide a cautionary note for holders of asset portfolios that include bitcoin in their mix as a hedge against uncertainty.

【Keywords】Bitcoin; EPU; gold; VIX; ARDL method

【发表时间】

【收录时间】2022-01-07

【文献类型】期刊

【主题类别】

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