Does bitcoin hedge against the economic policy uncertainty: based on the continuous wavelet analysis

【Author】 Cai, Yuxin; Zhu, Zeqi; Xue, Qi; Song, Xinyu

【Source】JOURNAL OF APPLIED ECONOMICS

【影响因子】1.809

【Abstract】This article aims to test a causal nexus between bitcoin market and economic policy uncertainty. We use the continuous wavelet analysis to investigate lead-lag relationship between bitcoin market and economic policy uncertainty in different time-frequency domains. Our findings show the negative relationship between bitcoin returns and economic policy uncertainty around the period of bitcoin's currency recognition and COVIC-19 pandemic crisis both daily and monthly time series test. Furthermore, we find that the causality relationship between bitcoin and economic policy uncertainty is relatively indistinct around the period of bitcoin's currency recognition, while bitcoin returns are leading economic policy uncertainty changes during COVID-19 pandemic crisis, indicating the economic policy uncertainty fluctuation trend can refer to the fluctuation of bitcoin, bitcoin can be viewed as a leading indicator, but it could not be employed as a safe-haven asset hedge against uncertainty during the period of COVID-19 pandemic.

【Keywords】Bitcoin; economic policy uncertainty; lead-lag relationship; continuous wavelet analysis

【发表时间】2022 31-Dec

【收录时间】2022-08-15

【文献类型】实验仿真

【主题类别】

区块链治理-法律治理-区块链监管制度