How do economic policy uncertainty and geopolitical risk drive Bitcoin volatility?

【Author】 Nouir, Jihed Ben; Hamida, Hayet Ben Haj

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】We investigate how economic policy uncertainty (EPU) and geopolitical risks (GPR) impact Bit -coin volatility with respect to factors related to type and nationality of uncertainty, investigated period, relationship horizon and extreme conditions. Applying ARDL model and quantile regression for monthly data from August 2010 to September 2021, we reveal that June 2014 corresponds to a key date that marks a reversal in the investigated relationship. Furthermore, we show that the relationship between uncertainty and bitcoin volatility changes according to different factors. US uncertainty has short run effects on Bitcoin volatility, while China's uncertainty has rather long run effects. Moreover, Bitcoin volatility responds in the same manner to US EPU and GPR, while, it responds differently to China's EPU and GPR. In extreme quantiles, we find that Bitcoin hedges against US EPU and GPR. Further, Bitcoin hedges against either individual or joint effects of US uncertainty, but not both.

【Keywords】Bitcoin volatility; Economic policy uncertainty (EPU); Geopolitical risk (GPR); ARDL method; Quantile regression; June 2014

【发表时间】2023 JAN

【收录时间】2023-03-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币